Small-sample adjustments for Wald-type tests using sandwich estimators.
The sandwich estimator of variance may be used to create robust Wald-type tests from estimating equations that are sums of K independent or approximately independent terms. For example, for repeated measures data on K individuals, each term relates to a different individual. These tests applied to a parameter may have greater than nominal size if K is small, or more generally if the parameter to be tested is essentially estimated from a small number of terms in the estimating equation. We offer some practical modifications to these robust Wald-type tests, which asymptotically approach the usual robust Wald-type tests. We show that one of these modifications provides exact coverage for a simple case and examine by simulation the modifications applied to the generalized estimating equations of Liang and Zeger (1986), conditional logistic regression, and the Cox proportional hazard model.
Fay
M P
MP
National Cancer Institute, Bethesda, Maryland 20892-8317, USA. faym@mail.nih.gov
Graubard
B I
BI
D000704:Analysis of Variance; D015982:Bias; D001699:Biometry; D006801:Humans; D016015:Logistic Models; D015233:Models, Statistical; D016016:Proportional Hazards Models