[R-sig-ME] sandwich variance estimation using glmer?
Andrew Robinson
A.Robinson at ms.unimelb.edu.au
Wed Nov 3 23:39:51 CET 2010
Hi Tyler,
I guess that it is a sensitive topic. This is a community of
volunteers. Specious comparisons with commercial software products
aren't helpful, unless they're *positive* specious comparisons ;).
The other problem with working in a community is that it's very
difficult for any one person to definitively state that functionality
does not exist and is not presently being worked on.
So, I repeat, good luck ....
Andrew
On Wed, Nov 03, 2010 at 06:06:43PM -0400, Tyler Dean Rudolph wrote:
> Hi Andrew,
> Unfortunately I do not have access to SAS, so that is simply not an option
> for me, though I do welcome your clarification. If this is a sensitive
> topic perhaps I will abstain from mentioning it in future, but to me it
> was a simple observation and not a value statement requiring
> qualification.
> Perhaps I should put this another way: can anyone confirm that this
> functionality does NOT exist or is NOT presently being worked on somewhere
> within the R sphere?
> Tyler
>
> On Wed, Nov 3, 2010 at 5:49 PM, Andrew Robinson
> <[1]A.Robinson at ms.unimelb.edu.au> wrote:
>
> Hi Tyler,
>
> I think that there's something that you're missing.
>
> R is not motivated by comparisons with SAS or any package. So, your
> impression that R was ahead of SAS or behind SAS is mistaken, or at
> least, it's your impression, so you are responsible for it. R
> responds exactly to the community's needs because the community
> supports it. If the functionality that you want isn't there, it's
> because noone else has wanted it badly enough to
>
> a) code it up, or
>
> b) pay someone else to code it up.
>
> If you want that function, and you know that SAS has it, then use SAS.
> If you want to use that function in R, then see the above two points.
>
> Good luck,
>
> Andrew
>
> On Wed, Nov 03, 2010 at 04:04:23PM -0400, Tyler Dean Rudolph wrote:
> > Indeed, in this case the correlation structure of the random effects
> is not
> > fully appreciated or known, in which case the standard errors are
> likely
> > underestimated. The use of sandwich estimators should render variance
> > estimates, and therefore inference, somewhat more realistic. While
> this is
> > currently possible with GEEs, that approach does not ask the same
> question
> > as a GLMM (i.e. marginal or "population" estimates vs. conditional or
> > "subject-specific" estimates).
> >
> > I used to think R updates were ahead of SAS upgrades in terms of new
> > approaches but apparently that is often not the case. Does anyone have
> the
> > know-how required to implement this in R, or is there something I'm
> still
> > missing?
> >
> > Best,
> > Tyler
> >
> >
> > On Wed, Nov 3, 2010 at 9:12 AM, Dimitris Rizopoulos <
> > [2]d.rizopoulos at erasmusmc.nl> wrote:
> >
> > > On 11/3/2010 1:57 PM, Doran, Harold wrote:
> > >
> > >> Out of curiosity, why would you want a sandwich estimator from
> lmer? That
> > >> estimator is typically used when the likelihood is misspecified,
> but you
> > >> still want standard errors that account for correlations among
> units within
> > >> a cluster.
> > >>
> > >> Since this is what lmer standard errors already account for, is
> there a
> > >> need for the sandwich?
> > >>
> > >
> > > well, it is possible that the random-effects structure that you have
> > > specified is not the correct one (i.e., in order to fully account
> for the
> > > correlations), and in this case it makes sense to use the sandwich
> estimator
> > > (of course, the sandwich estimator has its own problems, but this is
> > > probably another discussion...)
> > >
> > > Best,
> > > Dimitris
> > >
> > >
> > >
> > > -----Original Message-----
> > >>> From: [3]r-sig-mixed-models-bounces at r-project.org [mailto:
> > >>> r-sig-mixed-models-
> > >>> [4]bounces at r-project.org] On Behalf Of Tyler Dean Rudolph
> > >>> Sent: Tuesday, November 02, 2010 4:41 PM
> > >>> To: [5]r-sig-mixed-models at r-project.org
> > >>> Subject: [R-sig-ME] sandwich variance estimation using glmer?
> > >>>
> > >>> Are there any current functionalities in R that permit estimation
> of
> > >>> robust
> > >>> sandwich variances based on lmer (mixed model) objects?? I'm aware
> of
> > >>> the
> > >>> sandwich package and gee implementations but to my knowledge these
> are
> > >>> not
> > >>> yet compatible with mixed model objects.
> > >>>
> > >>> Apparently these are already implemented in SAS....
> > >>>
> > >>> Tyler
> > >>>
> > >>> [[alternative HTML version deleted]]
> > >>>
> > >>> _______________________________________________
> > >>> [6]R-sig-mixed-models at r-project.org mailing list
> > >>> [7]https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
> > >>>
> > >>
> > >> _______________________________________________
> > >> [8]R-sig-mixed-models at r-project.org mailing list
> > >> [9]https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
> > >>
> > >>
> > > --
> > > Dimitris Rizopoulos
> > > Assistant Professor
> > > Department of Biostatistics
> > > Erasmus University Medical Center
> > >
> > > Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
> > > Tel: +31/(0)10/7043478
> > > Fax: +31/(0)10/7043014
> > > Web: [10]http://www.erasmusmc.nl/biostatistiek/
> > >
> >
> > [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > [11]R-sig-mixed-models at r-project.org mailing list
> > [12]https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
>
> --
> Andrew Robinson
> Program Manager, ACERA
> Department of Mathematics and Statistics Tel: +61-3-8344-6410
> University of Melbourne, VIC 3010 Australia (prefer email)
> [13]http://www.ms.unimelb.edu.au/~andrewpr Fax: +61-3-8344-4599
> [14]http://www.acera.unimelb.edu.au/
>
> References
>
> Visible links
> 1. mailto:A.Robinson at ms.unimelb.edu.au
> 2. mailto:d.rizopoulos at erasmusmc.nl
> 3. mailto:r-sig-mixed-models-bounces at r-project.org
> 4. mailto:bounces at r-project.org
> 5. mailto:r-sig-mixed-models at r-project.org
> 6. mailto:R-sig-mixed-models at r-project.org
> 7. https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
> 8. mailto:R-sig-mixed-models at r-project.org
> 9. https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
> 10. http://www.erasmusmc.nl/biostatistiek/
> 11. mailto:R-sig-mixed-models at r-project.org
> 12. https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
> 13. http://www.ms.unimelb.edu.au/~andrewpr
> 14. http://www.acera.unimelb.edu.au/
--
Andrew Robinson
Program Manager, ACERA
Department of Mathematics and Statistics Tel: +61-3-8344-6410
University of Melbourne, VIC 3010 Australia (prefer email)
http://www.ms.unimelb.edu.au/~andrewpr Fax: +61-3-8344-4599
http://www.acera.unimelb.edu.au/
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