Book cover for Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
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Advances in Econometrics
Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
Edited by
Thomas B. Fomby
Thomas B. Fomby
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R. Carter Hill
R. Carter Hill
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Author and Other Information
Emerald Group Publishing Limited
Volume
17
DOI:
https://doi.org/10.1016/S0731-9053(2003)17
ISBN electronic:
978-1-84950-253-5
ISBN print:
978-0-76231-075-3
Series ISSN:
0731-9053
Publication date:
2003
Book Chapter

THE SANDWICH ESTIMATE OF VARIANCE

By
James W. Hardin
James W. Hardin
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Author and Other Information
James W. Hardin
© Emerald Group Publishing Limited
2003
Doi:
https://doi.org/10.1016/S0731-9053(03)17003-X
  • Published:
    2003
© Emerald Group Publishing Limited
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.

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