Journal
BIOMETRIKA
Volume 88, Issue 3, Pages 901-906Publisher
BIOMETRIKA TRUST
DOI: 10.1093/biomet/88.3.901
Keywords
generalised estimating equation; generalised linear model; longitudinal data; sandwich estimator
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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.
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