geesmv (version 1.3)

GEE.var.mk: A Modified GEE Variance Estimator Proposed by Mackinnon (1985).

Description

Calculate the variance estimators proposed by Mackinnon (1985).

Usage

GEE.var.mk(formula,id,family=gaussian,data,corstr="independence")

Arguments

formula

an object of class "formula" (or one that can be coerced to that class): a formula expression as for other regression models to be fitted, of the form response ~ predictors. The details of formula specification can be seen in glm() and gee().

id

a vector which identifies the clusters. The length of id should be the same as the total number of observations. Data is assumed to be sorted so that observations on a cluster are contiguous rows for all entities in the formula.

family

a family object: a list of functions and expressions for defining link and variance functions to be used in the model. This can be a character string naming a family function including "gaussian", "binomial", and "poisson". See family for details of family functions in glm() and gee().

data

an optional data frame, list or environment (or object coercible by as.data.frame to a data frame) containing the variables in the model. If not found in data, the variables are taken from environment(formula), typically the environment from which glm is called.

corstr

a character string specifying working correlation structure: "independence", "AR-M","exchangeable", "unstructured" are possible.

Value

cov.beta

estimate of the variance for beta

cov.var

estimate of the variance-covariance matrix for the variance estimator

Details

Fit the model by GEE and calculate the variance estimator proposed by Mackinnon (1985). This estimator improved the sandwich variance estimator by ajusting the degree of freedom.

References

MacKinnon JG. Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties. Journal of Econometrics 1985;29: 305-325.

Examples

data(dental)
data_alt <- reshape(dental, direction="long", timevar="Time", 
                   varying=names(dental)[3:6], v.names="response", times=c(8,10,12,14))
data_alt <- data_alt[order(data_alt$subject),]
data_alt$gender <- as.numeric(data_alt$gender)
data_alt$Time <- sqrt(data_alt$Time)
formula <- response~Time+gender
mk.ind <- GEE.var.mk(formula,id="subject",family=gaussian,
      data_alt,corstr="independence") ##Independence correlation structure;            
mk.exch <- GEE.var.mk(formula,id="subject",family=gaussian,
        data_alt,corstr="exchangeable") ##Exchangeable correlation structure;                
mk.ar1 <- GEE.var.mk(formula,id="subject",family=gaussian,
       data_alt,corstr="AR-M") ##AR-1 correlation structure;                         
mk.unstr <- GEE.var.mk(formula,id="subject",family=gaussian,
        data_alt,corstr="unstructured") ##Unstructured correlation structure;