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REG_SANDWICH: Stata module to compute cluster-robust (sandwich) variance estimators with small-sample corrections for linear regression

reg_sandwich provides cluster-robust variance estimators (i.e., sandwich estimators) for ordinary and weighted least squares linear regression models. Several adjustments are incorporated to improve small-sample performance. (We like to think of these adjustments as extra cheese, sprouts, bacon, etc. in the middle of the sandwich estimator.) The package includes functions for estimating linear regression models with cluster-robust variance-covariance matrices and for testing single- and multiple-contrast hypotheses based on Wald test statistics. Variance-covariance estimators are based on a version of the bias-reduced linearization estimator proposed by Bell and McCaffrey (2002) and further developed by Tipton and Pustejovsky (2015) and Pustejovsky and Tipton (2016). Tests of single regression coefficients use Satterthwaite corrections. Tests of multiple-contrast hypotheses use an approximation to Hotelling's T-squared distribution.

Requirements

  • Stata version 14.2

Authors

Marcelo Tyszler. Sustainable Economic Development and Gender, Royal Tropical Institute, Netherlands. m.tyszler@kit.nl

James E. Pustejovsky (maintainer). Department of Education Psychology, University of Texas at Austin. pusto@austin.utexas.edu

Elizabeth Tipton. Department of Human Development, Teachers College, Columbia University. tipton@tc.columbia.edu

Installing reg_sandwich

The package is available on the SSC Archive, under the name reg_sandwich. To install it, type

ssc install reg_sandwich 

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

net install github, from("https://haghish.github.io/github/") 
github install jepusto/clubSandwich-Stata 

Citation

Please cite the package as follows:

Tyszler, M., Pustejovsky, J. E., & Tipton, E. 2017. REG_SANDWICH: Stata module to compute cluster-robust (sandwich) variance estimators with small-sample corrections for linear regression, Statistical Software Components S458352, Boston College Department of Economics. URL: https://ideas.repec.org/c/boc/bocode/s458352.html

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Stata implementation of clubSandwich

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