Small-Sample Adjustments for Wald-Type Tests Using Sandwich Estimators

作者：Michael P. Fay, Barry I. Graubard · 发表于：Biometrics · 年份：2001 · DOI：10.1111/j.0006-341x.2001.01198.x · 被引用次数：317 · 研究领域：Advanced Statistical Methods and Models、Statistical Distribution Estimation and Applications、Optimal Experimental Design Methods

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.