A bias-corrected covariance estimator for improved inference when using an unstructured correlation with quadratic inference functions

Notable bias can exist in the empirical covariance matrix of parameter estimates obtained from the quadratic inference function method that incorporates an unstructured working correlation. We therefore derive a bias correction. Via simulation, we show that the proposed correction leads to appropriate standard error estimation.

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Year of publication:	2013
Authors:	Westgate, Philip M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 6, p. 1553-1558
Publisher:	Elsevier
Subject:	Correlated data \| Efficiency \| Generalized estimating equations \| Marginal model \| Working correlation structure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010664063