[R] Some matrix and sandwich questions

[Michael Ash]

On 10/30/07, Christian Ritz <ritz at life.ku.dk> wrote:

> Use 'model.matrix' to construct a design matrix:
>
> x <- runif(10,0,10)
> model.matrix(~x)

Thanks!  That's super helpful.

> The following article by A. Zeileis provides more details on the
> package 'sandwich':
> http://www.jstatsoft.org/v16/i09/
> (see also the references).

This is also very helpful, although I still have questions about
terminology (because I am unfamiliar with the phrase "empirical
estimating function").  Is the term "empirical estimating function"
equivalent to "the expectation of the score set equal to zero" where
score is the vector of first derivatives of the (log) likelihood
function?

I think that the paper is written at a higher level of abstraction
about estimators than I am used to.  I'd be grateful if someone could
briefly help me understand the Zeileis paper using either MLE, or even
OLS, *examples*.

Thanks very much.

Best,
Michael



-- 
Michael Ash, Associate Professor
  of Economics and Public Policy
Department of Economics and CPPA
University of Massachusetts
Amherst, MA 01003
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Email mash at econs.umass.edu
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