[R] glm and Newey-West estimator

Jun Yan 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).
> Thanks,
> Christof

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.

Jun Yan

Department of Statistics          Office: CSSC 4252
university of Wisconsin-Madison   Tel: (608)262-7478 
1210 W. Dayton St.                Email: jyan at stat.wisc.edu
Madison, WI 53706                 URL: http://www.stat.wisc.edu/~jyan

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