Chunk #10 — 2.0 Generalized Estimating Equations and the Sandwich Covariance Estimator

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Modification of the Sandwich Estimator in Generalized Estimating Equations with Correlated Binary Outcomes in Rare Event and Small Sample Settings.

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Liang and Zeger (1986) demonstrated that as the number of subjects or clusters (K) increased in size, that β^ is a consistent estimator for β. That is, as K→∞,K1∕2(β^−β) is asymptotically multivariate Gaussian with zero mean and covariance matrix (VLZ) estimated as follows.