JSM 2005 - Toronto

Abstract #303801

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 187
Type: Contributed
Date/Time: Monday, August 8, 2005 : 2:00 PM to 3:50 PM
Sponsor: Biometrics Section
Abstract - #303801
Title: Variance Estimation for GEE Estimator
Author(s): Shenghai Zhang*+
Companies: Centre for Infectious Disease Prevention and Control
Address: Public Health Agency of Canada, Nepean, ON, K2G 6V8, Canada
Keywords: Clustered Data ; Confidence Intervals ; Variance Estimators
Abstract:

The sandwich estimator, also known as the robust covariance matrix estimator, has achieved increasing use in the statistical literature and grown in popularity with generalized estimating equations( GEE). In this paper, I discuss the properties of the sandwich method, other than consistency. I propose a modified sandwich variance estimator and study its properties. I compare this variance estimator for GEE estimator to other variance estimators, such as model-based estimator, sandwich estimator, and corrected-sandwich estimator. Finally, I discuss confidence intervals for regression parameters based on these estimators and report simulation studies using clustered data to compare the performance of variance estimators.

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Revised March 2005