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

Marcelo Tyszler, James Pustejovsky and Elizabeth Tipton ()
Additional contact information
Elizabeth Tipton: Columbia University

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 14.2
Keywords: cluster-robust; sandwich estimator; weighted least squares (search for similar items in EconPapers)
Date: 2017-05-26, Revised 2017-05-31
Note: This module should be installed from within Stata by typing "ssc install reg_sandwich". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/r/reg_sandwich.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/reg_sandwich_ttests.mo program code
http://fmwww.bc.edu/repec/bocode/r/reg_sandwich.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/test_sandwich.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/test_sandwich_ftests.mo program code
http://fmwww.bc.edu/repec/bocode/t/test_sandwich.sthlp help file (text/plain)

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