THE SANDWICH ESTIMATE OF VARIANCE

James W. Hardin

A chapter in Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, 2003, pp 45-73 from Emerald Group Publishing Limited

Abstract: This article examines the history, development, and application of the sandwich estimate of variance. In describing this estimator, we pay attention to applications that have appeared in the literature and examine the nature of the problems for which this estimator is used. We describe various adjustments to the estimate for use with small samples, and illustrate the estimator’s construction for a variety of models. Finally, we discuss interpretation of results.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.101 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.101 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(03)17003-x

DOI: 10.1016/S0731-9053(03)17003-X

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().