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Biometrika 2001 88(3):901-906; doi:10.1093/biomet/88.3.901
© 2001 by Biometrika Trust
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Miscellaneous

On the robust variance estimator in generalised estimating equations

Wei Pan1

1 Division of Biostatistics, University of Minnesota, Minneapolis, Minnesota 55455, U.S.Aweip{at}biostat.umn.edu

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.

Key Words: Generalised estimating equation; Generalised linear model; Longitudinal data; Sandwich estimator

Received April 2000. Revised March 2001


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