Robust covariance matrix estimators

• Bootstrapping standard errors for any estimator
• White and heteroscedasticity corrected estimators
• Newey-West estimators
• Choice based sampling discrete choice estimators
• Cluster based asymptotic covariance matrices
• Jackknife estimators of standard errors for any estimator

Robust estimators

• GMM estimation for user specified models
• Kernel density estimation
• Spectral density estimation
• Random parameters models
• Kernel weights for estimation

Non- and semiparametric estimators

• Least absolute deviations linear regression
• Maximum score for binary choice
• Klein and Spady estimator for binary choice
• Nonparametric, kernel density regression

Robust tests

• Rank correlation
• Coefficient of concordance
• CUSUM test
• Kolmogorov-Smirnov
• Normality test - chi-squared
• Box-Pierce and Box-Ljung

Stratified data

• ‘Cluster’ corrections
• Stratification and clustering
• Finite population weights