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),
lmer (from lme4),
robu (from robumeta), and
rma.uni and rma.mv (from metafor).
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("remotes")
remotes::install_github("jepusto/clubSandwich")
Once installed, have a look at the available vignettes by typing:
browseVignettes(package="clubSandwich")