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

Philip M. Westgate

Statistics & Probability Letters, 2013, vol. 83, issue 6, 1553-1558

Abstract: 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.

Keywords: Correlated data; Efficiency; Generalized estimating equations; Marginal model; Working correlation structure (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.02.021

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