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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 901-906 |
| Number of pages | 6 |
| Journal | Biometrika |
| Volume | 88 |
| Issue number | 3 |
| DOIs | |
| State | Published - 2001 |
Bibliographical note
Funding Information:The author would like to thank John Connett, Chap Le and Tom Louis for interesting discussions. The author is grateful to a referee and the editor for detailed and helpful comments. This research was partially supported by a University of Minnesota Grant-in-aid.
Keywords
- Generalised estimating equation
- Generalised linear model
- Longitudinal data
- Sandwich estimator