메뉴 건너뛰기




Volumn 17, Issue , 2003, Pages 45-73

THE SANDWICH ESTIMATE OF VARIANCE

(1)  Hardin, James W a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 36148993959     PISSN: 07319053     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0731-9053(03)17003-X     Document Type: Review
Times cited : (31)

References (59)
  • 1
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • D.W.K. Andrews Heteroskedasticity and autocorrelation consistent covariance matrix estimation Econometrica 59 1991, May 817 858
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.W.K.1
  • 2
    • 0000601258 scopus 로고
    • On the variances of asymptotically normal estimators from complex surveys
    • D.A. Binder On the variances of asymptotically normal estimators from complex surveys International Statistical Review 51 1983 279 292
    • (1983) International Statistical Review , vol.51 , pp. 279-292
    • Binder, D.A.1
  • 3
    • 0000081042 scopus 로고
    • Fitting Cox's proportional hazards models from survey data
    • D.A. Binder Fitting Cox's proportional hazards models from survey data Biometrika 79 1 1992 139 147
    • (1992) Biometrika , vol.79 , Issue.1 , pp. 139-147
    • Binder, D.A.1
  • 4
  • 5
    • 84950455841 scopus 로고
    • Tests of hypotheses in overdispersed Poisson regression and other quasi-likelihood models
    • N.E. Breslow Tests of hypotheses in overdispersed Poisson regression and other quasi-likelihood models Journal of the American Statistical Association 85 410 1990, June 565 571
    • (1990) Journal of the American Statistical Association , vol.85 , Issue.410 , pp. 565-571
    • Breslow, N.E.1
  • 6
    • 0021644047 scopus 로고
    • Approximate case influence for the proportional hazards regression model with censored data
    • K.C. Cain N.T. Lange Approximate case influence for the proportional hazards regression model with censored data Biometrics 40 1984, June 493 499
    • (1984) Biometrics , vol.40 , pp. 493-499
    • Cain, K.C.1    Lange, N.T.2
  • 7
    • 0000451048 scopus 로고
    • The bias of the heteroskedasticity consistent covariance matrix estimator
    • A. Chesher I. Jewitt The bias of the heteroskedasticity consistent covariance matrix estimator Econometrica 55 1987 1217 1222
    • (1987) Econometrica , vol.55 , pp. 1217-1222
    • Chesher, A.1    Jewitt, I.2
  • 9
    • 84972541974 scopus 로고
    • Comment on: Regression models for discrete longitudinal responses
    • M. Drum P. McCullagh Comment on: Regression models for discrete longitudinal responses Statistical Science 8 1993 284 309
    • (1993) Statistical Science , vol.8 , pp. 284-309
    • Drum, M.1    McCullagh, P.2
  • 10
    • 0001077032 scopus 로고
    • Nonparametric estimates of standard error: The jackknife, the bootstrap and other methods
    • B. Efron Nonparametric estimates of standard error: The jackknife, the bootstrap and other methods Biometrika 68 3 1981 589 599
    • (1981) Biometrika , vol.68 , Issue.3 , pp. 589-599
    • Efron, B.1
  • 11
    • 0010197241 scopus 로고
    • Discussion of: Jackknife, bootstrap and other resampling methods in regression analysis
    • B. Efron Discussion of: Jackknife, bootstrap and other resampling methods in regression analysis The Annals of Statistics 14 4 1986 1301 1304
    • (1986) The Annals of Statistics , vol.14 , Issue.4 , pp. 1301-1304
    • Efron, B.1
  • 12
    • 0018115641 scopus 로고
    • Assessing the accuracy of the maximum likelihood estimator: Observed versus expected fisher information
    • B. Efron D. Hinkley Assessing the accuracy of the maximum likelihood estimator: Observed versus expected fisher information Biometrika 65 3 1978 457 487
    • (1978) Biometrika , vol.65 , Issue.3 , pp. 457-487
    • Efron, B.1    Hinkley, D.2
  • 13
    • 0000540433 scopus 로고
    • Asymptotic normality and consistency of the least squares estimators for families of linear regressions
    • F. Eicker Asymptotic normality and consistency of the least squares estimators for families of linear regressions The Annals of Mathematical Statistics 34 2 1963 447 456
    • (1963) The Annals of Mathematical Statistics , vol.34 , Issue.2 , pp. 447-456
    • Eicker, F.1
  • 14
    • 85112953796 scopus 로고    scopus 로고
    • Eicker, F. (1967). Limit theorems for regressions with unequal and dependent errors. In: Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability (Vol. 1, pp. 59–82). Berkeley, CA: University of California Press.
  • 16
    • 0002545717 scopus 로고
    • Tests for no treatment effect in randomized clinical trials
    • M.H. Gail W.Y. Tan S. Piantadosi Tests for no treatment effect in randomized clinical trials Biometrika 75 1988 57 64
    • (1988) Biometrika , vol.75 , pp. 57-64
    • Gail, M.H.1    Tan, W.Y.2    Piantadosi, S.3
  • 17
    • 85112920472 scopus 로고    scopus 로고
    • Gallant, A. R. (1987). Nonlinear statistical models . New York: Wiley.
  • 18
    • 0001300935 scopus 로고
    • Pseudo maximum likelihood methods: Applications to Poisson models
    • C. Gourieroux A. Monfort A. Trognon Pseudo maximum likelihood methods: Applications to Poisson models Econometrica 52 1984 701 720
    • (1984) Econometrica , vol.52 , pp. 701-720
    • Gourieroux, C.1    Monfort, A.2    Trognon, A.3
  • 19
    • 85112918321 scopus 로고    scopus 로고
    • Greene, W. (2000). Econometric analysis (4th ed.). Upper 29, Saddle River, NJ: Prentice-Hall.
  • 20
    • 84950646761 scopus 로고
    • The influence curve and its role in robust estimation
    • F.R. Hampel The influence curve and its role in robust estimation Journal of the American Statistical Association 69 346 1974 383 393
    • (1974) Journal of the American Statistical Association , vol.69 , Issue.346 , pp. 383-393
    • Hampel, F.R.1
  • 21
    • 27744452909 scopus 로고    scopus 로고
    • The robust variance estimator for two-stage models
    • J.W. Hardin The robust variance estimator for two-stage models Stata Journal 2 2002 253 266
    • (2002) Stata Journal , vol.2 , pp. 253-266
    • Hardin, J.W.1
  • 22
    • 85112915780 scopus 로고    scopus 로고
    • Hardin, J. W., & Hilbe, J. M. (2001). Generalized linear models and extensions . College Station, TX: Stata Press.
  • 23
    • 85112887528 scopus 로고    scopus 로고
    • Hardin, J. W., & Hilbe, J. M. (2002). Generalized estimating equations . Boca Raton, FL: Chapman & Hall/CRC.
  • 24
    • 0001766028 scopus 로고
    • The common structure of statistical models of truncation, sample selection, and limited dependent variables and a simple estimator for such models
    • J. Heckman The common structure of statistical models of truncation, sample selection, and limited dependent variables and a simple estimator for such models The Annals of Economic and Social Measurement 5 1976 475 492
    • (1976) The Annals of Economic and Social Measurement , vol.5 , pp. 475-492
    • Heckman, J.1
  • 25
    • 85112879553 scopus 로고    scopus 로고
    • Hill, R. C., Adkins, L. C., & Bender, K. (2003). Test statistics and critical values in selectivity models. In: Advances in Econometrics: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later (Vol. 17). New York: Elsevier.
  • 26
    • 85112919614 scopus 로고    scopus 로고
    • Huber, P. J. (1967). The behavior of maximum likelihood estimates under non-standard conditions. In: Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability (Vol. 1, pp. 221–233). Berkeley, CA: University of California Press.
  • 27
    • 41249094748 scopus 로고    scopus 로고
    • The sandwich variance estimator: Efficiency properties and coverage probability of confidence intervals
    • G. Kauermann R.J. Carroll The sandwich variance estimator: Efficiency properties and coverage probability of confidence intervals Journal of the American Statistical Association 96 2001 1386 1397
    • (2001) Journal of the American Statistical Association , vol.96 , pp. 1386-1397
    • Kauermann, G.1    Carroll, R.J.2
  • 28
    • 0003167173 scopus 로고
    • Robust properties of likelihood ratio tests
    • J.T. Kent Robust properties of likelihood ratio tests Biometrika 69 1 1982 19 27
    • (1982) Biometrika , vol.69 , Issue.1 , pp. 19-27
    • Kent, J.T.1
  • 29
    • 85112944632 scopus 로고    scopus 로고
    • Kim, T.-H., & White, H. (2003). Estimation, inference, and specification testing for possibly misspecified quantile regression. In: Advances in Econometrics: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later (Vol. 17). New York: Elsevier.
  • 30
    • 0001479147 scopus 로고
    • Asymptotic covariance matrixs of two-stage probit and two-stage tobit methods for simultaneous equations models with selectivity
    • L.-F. Lee G.S. Maddala R.P. Trost Asymptotic covariance matrixs of two-stage probit and two-stage tobit methods for simultaneous equations models with selectivity Econometrica 48 2 1980, March 491 503
    • (1980) Econometrica , vol.48 , Issue.2 , pp. 491-503
    • Lee, L.-F.1    Maddala, G.S.2    Trost, R.P.3
  • 31
    • 0000229615 scopus 로고
    • Estimating functions and approximate conditional likelihood
    • K.-Y. Liang Estimating functions and approximate conditional likelihood Biometrika 74 4 1987 695 702
    • (1987) Biometrika , vol.74 , Issue.4 , pp. 695-702
    • Liang, K.-Y.1
  • 32
    • 77649173768 scopus 로고
    • Longitudinal data analysis using generalized linear models
    • K.Y. Liang S.L. Zeger Longitudinal data analysis using generalized linear models Biometrika 73 1986 13 22
    • (1986) Biometrika , vol.73 , pp. 13-22
    • Liang, K.Y.1    Zeger, S.L.2
  • 33
    • 85112888246 scopus 로고    scopus 로고
    • Lin, D. Y. (1989). Goodness-of-fit tests and robust statistical inference for the Cox proportional hazards model. Unpublished dissertation, The University of Michigan.
  • 34
    • 84892372742 scopus 로고
    • The robust inference for the cox proportional hazards model
    • D.Y. Lin L.J. Wei The robust inference for the cox proportional hazards model Journal of the American Statistical Association 84 408 1989 1074 1078
    • (1989) Journal of the American Statistical Association , vol.84 , Issue.408 , pp. 1074-1078
    • Lin, D.Y.1    Wei, L.J.2
  • 35
    • 0034365095 scopus 로고    scopus 로고
    • Correcting for heteroskedasticity with heteroskedasticity consistent standard errors in the linear regression model: Small sample considerations
    • J.S. Long L.H. Ervin Correcting for heteroskedasticity with heteroskedasticity consistent standard errors in the linear regression model: Small sample considerations The American Statistician 54 2000 217 223
    • (2000) The American Statistician , vol.54 , pp. 217-223
    • Long, J.S.1    Ervin, L.H.2
  • 36
    • 0033482327 scopus 로고    scopus 로고
    • Weighted empirical adaptive variance estimators for correlated data regression
    • T. Lumley P. Heagerty Weighted empirical adaptive variance estimators for correlated data regression Journal of the Royal Statistical Society – Series B 61 2 1999 459 477
    • (1999) Journal of the Royal Statistical Society – Series B , vol.61 , Issue.2 , pp. 459-477
    • Lumley, T.1    Heagerty, P.2
  • 37
    • 0000921289 scopus 로고
    • Some heteroskedasticity consistent co-variance matrix estimators with improved finite sample properties
    • J.G. MacKinnon H. White Some heteroskedasticity consistent co-variance matrix estimators with improved finite sample properties Journal of Econometrics 29 1985 305 325
    • (1985) Journal of Econometrics , vol.29 , pp. 305-325
    • MacKinnon, J.G.1    White, H.2
  • 38
    • 85112914967 scopus 로고    scopus 로고
    • McCullagh, P., & Nelder, J. A. (1989). Generalized linear models (2nd ed.). London: Chapman & Hall.
  • 39
    • 0015971972 scopus 로고
    • The jackknife – a review
    • R.G. Miller The jackknife – a review Biometrika 61 1 1974 1 15
    • (1974) Biometrika , vol.61 , Issue.1 , pp. 1-15
    • Miller, R.G.1
  • 41
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • W.K. Newey K.D. West A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703 708
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 42
    • 84963002108 scopus 로고
    • Automatic lag selection in covariance matrix estimation
    • W.K. Newey K.D. West Automatic lag selection in covariance matrix estimation Review of Economic Studies 61 1994 631 653
    • (1994) Review of Economic Studies , vol.61 , pp. 631-653
    • Newey, W.K.1    West, K.D.2
  • 43
    • 0008976515 scopus 로고    scopus 로고
    • On the robust variance estimator in generalised estimating equations
    • W. Pan On the robust variance estimator in generalised estimating equations Biometrika 88 3 2001, September 901 906
    • (2001) Biometrika , vol.88 , Issue.3 , pp. 901-906
    • Pan, W.1
  • 44
    • 0001031094 scopus 로고
    • On consistent estimates of the spectrum of a stationary time series
    • E. Parzen On consistent estimates of the spectrum of a stationary time series Annals of Mathematical Statistics 28 1957 329 348
    • (1957) Annals of Mathematical Statistics , vol.28 , pp. 329-348
    • Parzen, E.1
  • 45
    • 85112917849 scopus 로고    scopus 로고
    • Rogers, W. (1993). Regression standard errors in clustered samples. In: STB Reprints (Vol. 3, pp. 88–94). College Station, TX: Stata Press.
  • 46
    • 0346586085 scopus 로고
    • Approximative power functions for some robust tests of regression coefficients
    • T.J. Rothenberg Approximative power functions for some robust tests of regression coefficients Econometrica 56 1988 997 1019
    • (1988) Econometrica , vol.56 , pp. 997-1019
    • Rothenberg, T.J.1
  • 47
    • 0001665813 scopus 로고
    • Model robust confidence intervals using maximum likelihood estimators
    • R.M. Royall Model robust confidence intervals using maximum likelihood estimators International Statistical Review 54 2 1986 221 226
    • (1986) International Statistical Review , vol.54 , Issue.2 , pp. 221-226
    • Royall, R.M.1
  • 49
    • 17944374443 scopus 로고
    • Conditional coverage properties of finite population confidence intervals
    • R.M. Royall W.G. Cumberland Conditional coverage properties of finite population confidence intervals Journal of the American Statistical Association 80 390 1985, June 355 359
    • (1985) Journal of the American Statistical Association , vol.80 , Issue.390 , pp. 355-359
    • Royall, R.M.1    Cumberland, W.G.2
  • 51
    • 85112870856 scopus 로고    scopus 로고
    • Vogelsang, T. J. (2003). Testing in GMM models without truncation. In: Advances in Econometrics: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later (Vol. 17). New York: Elsevier.
  • 52
    • 0000167944 scopus 로고
    • Note on the consistency of the maximum likelihood estimate
    • A. Wald Note on the consistency of the maximum likelihood estimate Annals of Mathematical Statistics 20 1949 595 601
    • (1949) Annals of Mathematical Statistics , vol.20 , pp. 595-601
    • Wald, A.1
  • 53
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
    • H. White A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity Econometrica 48 4 1980, May 817 838
    • (1980) Econometrica , vol.48 , Issue.4 , pp. 817-838
    • White, H.1
  • 54
    • 0000833539 scopus 로고
    • Instrumental variables regression with independent observations
    • H. White Instrumental variables regression with independent observations Econometrica 50 2 1982, March 483 499
    • (1982) Econometrica , vol.50 , Issue.2 , pp. 483-499
    • White, H.1
  • 55
    • 0002644952 scopus 로고
    • Maximum likelihood estimation of misspecified models
    • H. White Maximum likelihood estimation of misspecified models Econometrica 50 1 1982, January 1 25
    • (1982) Econometrica , vol.50 , Issue.1 , pp. 1-25
    • White, H.1
  • 56
    • 85112892373 scopus 로고    scopus 로고
    • White, H. (2000). Asymptotic theory for econometricians (rev. ed.). New York: Academic Press.
  • 57
    • 0002425866 scopus 로고
    • On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
    • J.M. Wooldridge On the application of robust, regression-based diagnostics to models of conditional means and conditional variances Journal of Econometrics 47 1991 5 46
    • (1991) Journal of Econometrics , vol.47 , pp. 5-46
    • Wooldridge, J.M.1
  • 58
    • 0001673027 scopus 로고
    • Jackknife, bootstrap and other resampling methods in regression analysis
    • C.F.J. Wu Jackknife, bootstrap and other resampling methods in regression analysis The Annals of Statistics 14 4 1986 1261 1295
    • (1986) The Annals of Statistics , vol.14 , Issue.4 , pp. 1261-1295
    • Wu, C.F.J.1
  • 59
    • 0033917085 scopus 로고    scopus 로고
    • Random effects in censored ordinal regression: Latent structure and Bayesian approach
    • M. Xie D.G. Simpson R.J. Carroll Random effects in censored ordinal regression: Latent structure and Bayesian approach Biometrics 56 2000, June 376 383
    • (2000) Biometrics , vol.56 , pp. 376-383
    • Xie, M.1    Simpson, D.G.2    Carroll, R.J.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.