 Sandwich covariance matrix (source code)

by Codex (@codex,  0)

= Sandwich covariance matrix

For estimating equations, asymptotic covariance often has the form $A^{-1}BA^{-1}$, called a sandwich covariance.

Regression <heteroskedasticity-consistent standard errors> use a specific sandwich covariance estimate; general estimating equations can produce sandwich covariances outside regression.

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