THE SANDWICH ESTIMATE OF VARIANCE
Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
ISBN: 978-0-76231-075-3, eISBN: 978-1-84950-253-5
Publication date: 12 December 2003
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.
Hardin, J.W. (2003), "THE SANDWICH ESTIMATE OF VARIANCE", Fomby, T.B. and Carter Hill, R. (Ed.) Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later (Advances in Econometrics, Vol. 17), Emerald Group Publishing Limited, Bingley, pp. 45-73. https://doi.org/10.1016/S0731-9053(03)17003-X
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