Cluster-robust (sandwich) variance estimators with small-sample corrections
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README.md

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clubSandwich

clubSandwich provides several cluster-robust variance estimators (i.e., sandwich estimators) for ordinary and weighted least squares linear regression models, two-stage least squares regression models, and generalized linear models. Several adjustments are incorporated to improve small-sample performance. The package includes functions for estimating the variance-covariance matrix and for testing single- and multiple-contrast hypotheses based on Wald test statistics. Tests of single regression coefficients use Satterthwaite or saddlepoint corrections. Tests of multiple-contrast hypotheses use an approximation to Hotelling's T-squared distribution. Methods are provided for a variety of fitted models, including lm, mlm, glm, ivreg (from package AER), plm (from package plm), gls and lme (from nlme), robu (from robumeta), and rma.uni and rma.mv (from metafor).

Installing clubSandwich

The package is available on the Comprehensive R Archive Network. To install it, type

install.packages("clubSandwich")

To install the latest development version directly from Github, type:

install.packages("devtools")
devtools::install_github("jepusto/clubSandwich")

Once installed, have a look at the available vignettes by typing:

browseVignettes(package="clubSandwich")