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Title: | Small-sample adjustments for Wald-type tests using sandwich estimators. |
Authors: | Fay MP, Graubard BI |
Journal: | Biometrics |
Date: | 2001 Dec |
PubMed ID: | 11764261 |
PMC ID: | not available |
Abstract: | 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 case 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. |