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Statistical Models and Causal Inference by Jasjeet S. Sekhon, David Collier, David A. Freedman

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17On The So-Called “Huber Sandwich Estimator” and “Robust Standard Errors”

        ABSTRACT. The “Huber Sandwich Estimator” can be used to estimate the variance of the MLE when the underlying model is incorrect. If the model is nearly correct, so are the usual standard errors, and robustification is unlikely to help much. On the other hand, if the model is seriously in error, the sandwich may help on the variance side, but the parameters being estimated by the MLE are likely to be meaninglessexcept perhaps as descriptive statistics.

17.1  Introduction

        This chapter gives an informal account of the so-called “Huber Sandwich Estimator,” for which Peter Huber is not to be blamed. We discuss the algorithm and mention some of the ways in which ...

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