[R] glm and Newey-West estimator
jyan at stat.wisc.edu
Tue Oct 15 18:41:26 CEST 2002
On Tue, 15 Oct 2002, Christof Bigler wrote:
> Dear R-users,
> has anybody combined the glm function with the Newey-West estimator of
> variance, similar as in Stata 7.0? I'd like to estimate corrected
> standard errors within a logistic regression model, taking into account
> the auto-correlated binary observations within individuals.
> I use R1.5.1 on Mac OS X (10.2).
Alternatively, you may try package geepack, which can model the ar1
correlation structure within a cluster. I am not sure if this Newey-West
estimator is the same as the "sandwich" variance estimator though. Maybe
someone knows this better can explain.
Department of Statistics Office: CSSC 4252
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Madison, WI 53706 URL: http://www.stat.wisc.edu/~jyan
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