Variance Estimation and Construction of Confidence Intervals for GEE Estimator

Abstract

The sandwich estimator, also known as the robust covariance matrix estimator, has achieved increasing use in the statistical literature as well as with the growing popularity of generalized estimating equations (GEE). A modified sandwich variance estimator is proposed, and its consistency and efficiency are studied. It is compared with other variance estimators, such as a model based estimator, the sandwich estimator and a corrected sandwich estimator. Confidence intervals for regression parameters based on these estimators are discussed. Simulation studies using clustered data to compare the performance of variance estimators are reported.