Dear useRs, here is the announcement for the next "new" package: sandwich 0.1-3. sandwich provides heteroskedasticity (and autocorrelation) consistent covariance matrix estimators (also called HC and HAC estimators). The former are implemented in the function vcovHC() (which was available in strucchange before - and independently in hccm() in John Fox's car package). And the latter are implemented in the function vcovHAC(). This implements sandwich-type estimators in a rather flexible way, allowing for user-defined weights or weight functions. It builds on some of the functionality which was before available in Thomas Lumley's weave package (not on CRAN). In particular it makes available the class of WEAVE estimators introduced by Lumley & Heagerty (1999) in the function weave() which is a convenience interface to vcovHAC(). Furthermore, it implements the class of kernel HAC estimators with automatic bandwidth-selection of Andrews (1991) in the function kernHAC(), which is again a convenience interface to vcovHAC(). Best wishes, Z ----------------- Package: sandwich Version: 0.1-3 Date: 2004-07-19 Title: Robust Covariance Matrix Estimators Author: Thomas Lumley, Achim Zeileis Maintainer: Achim Zeileis <Achim.Zeileis at wu-wien.ac.at> Description: Model-robust standard error estimators for time series and longitudinal data. Depends: zoo, R (>= 1.5.0) License: GPL version 2 _______________________________________________ R-packages mailing list R-packages at stat.math.ethz.ch https://stat.ethz.ch/mailman/listinfo/r-packages