The robust variance estimator for two-stage models

被引：82

作者：

Hardin, James W. ^{[1
,2
]}

机构：

[1] Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA

[2] Texas A&M Univ, Acad Adv Telecommun & Learning Technol, College Stn, TX 77843 USA

来源：

STATA JOURNAL | 2002年 / 2卷 / 03期

关键词：

st0018; robust variance estimator; Murphy-Topel estimator; two-stage estimation; estimating equation;

D O I：

10.1177/1536867X0200200302

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

This article discusses estimates of variance for two-stage models. We present the sandwich estimate of variance as an alternative to the Murphy-Topel estimate. The sandwich estimator has a simple formula that is similar to the formula for the Murphy-Topel estimator, and the two estimators are asymptotically equal when the assumed model distributions are true. The advantages of the sandwich estimate of variance are that it may be calculated for the complete parameter vector, and that it requires estimating equations instead of fully specified log likelihoods.

引用

页码：253 / 266

页数：14

共 7 条

[1] ON THE VARIANCES OF ASYMPTOTICALLY NORMAL ESTIMATORS FROM COMPLEX SURVEYS [J].