Journal
BIOMETRICS
Volume 57, Issue 4, Pages 1198-+Publisher
INTERNATIONAL BIOMETRIC SOC
DOI: 10.1111/j.0006-341X.2001.01198.x
Keywords
conditional logistic regression; Cox proportional hazards model; generalized estimating equations; robust Wald statistics; sandwich estimator; small sample size
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The sandwich estimator of variance may be used to create robust Wald-type tests from estimating equations that are sums of K independent or approximately independent terms. For example, for repeated measures data on K individuals, each term relates to a different individual. These tests applied to a parameter may have greater than nominal size if K is small, or more generally if the parameter to be tested is essentially estimated from a small number of terms in the estimating equation. We offer some practical modifications to these robust Wald-type tests, which asymptotically approach the usual robust Wald-type tests. We show that one of these modifications provides exact coverage for a simple ease and examine by simulation the modifications applied to the generalized estimating equations of Liang and Zeger (1986), conditional logistic regression, and the Cox proportional hazard model.
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