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The Sandwich Estimate Of Variance

In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later

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  • James W. Hardin

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.

Suggested Citation

  • James W. Hardin, 2003. "The Sandwich Estimate Of Variance," Advances in Econometrics, in: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, pages 45-73, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-9053(03)17003-x
    DOI: 10.1016/S0731-9053(03)17003-X
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    Cited by:

    1. Roberto Fernández Llera & María A. García Valiñas, 2010. "Efficiency and elusion: both sides of public enterprises in Spain," Working Papers 2010/5, Institut d'Economia de Barcelona (IEB).
    2. Ko, Vinnie & Hjort, Nils Lid, 2019. "Model robust inference with two-stage maximum likelihood estimation for copulas," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 362-381.
    3. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2019. "Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data," Econometrics, MDPI, vol. 7(3), pages 1-27, September.
    4. Roberto Fernández Llera & María A. García Valiñas, 2013. "The Role of Regional Public Enterprises in Spain: Room for a Shadow Government?," Hacienda Pública Española / Review of Public Economics, IEF, vol. 205(2), pages 9-31, June.

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