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

Author

Listed:
  • Marcelo Tyszler

    () (Royal Tropical Institute, Netherlands)

  • James E. Pustejovsky

    () (University of Texas at Austin)

  • Elizabeth Tipton

    () (Columbia University)

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.

Suggested Citation

  • Marcelo Tyszler & James E. Pustejovsky & Elizabeth Tipton, 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, revised 31 May 2017.
  • Handle: RePEc:boc:bocode:s458352
    Note: This module should be installed from within Stata by typing "ssc install reg_sandwich". Windows users should not attempt to download these files with a web browser.
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