On the robust variance estimator in generalised estimating equations

Author: Pan W.

Source: Biometrika, Volume 88, Number 3, 1 October 2001 , pp. 901-906(6)

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Abstract:

The variance matrix of the estimated regression coefficient in the Liang–Zeger generalised estimating equation approach can be consistently estimated by the so-called sandwich or robust estimator. In this note, we propose a modification to the Liang–Zeger prescription for implementing the robust variance estimator. Analytical and numerical evidence shows the superior performance of our proposal.

Keywords: Generalised estimating equation; Generalised linear model; Longitudinal data; Sandwich estimator

Document Type: Miscellaneous

Affiliations: 1: Division of Biostatistics, University of Minnesota, Minneapolis, Minnesota 55455, U.S.A. weip@biostat.umn.edu

Publication date: 2001-10-01