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Chunk #23 — 3.0 Summary of Small-Sample Covariance Estimators — 3.3 Morel 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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Morel originally explored the covariance matrix estimate in logistic regression in complex survey designs as a product of the application of a Taylor series expansion [8]. These results were later extended to the sandwich estimator used within the GEE framework [9]. They clearly delineated the source of the bias suffered by the sandwich estimator in small sample sizes. It was demonstrated that most software implementations of the sandwich estimator omit the term N−1N−pKK−1 where N=∑j=1Kmj and mj represent the number of units in the ith cluster i = 1, 2……K. This term is part of the Taylor series estimation of the sandwich estimator. The omission of these terms is less serious when the sample size or number of clusters is large but becomes increasingly significant as the sample size is reduced. Morel (2003) proposed re-introducing these terms to adjust for bias in the sandwich estimator. He also recommended inflating the sandwich estimator by adding a scaled version of the sandwich estimator trace to itself. This concept is unalike those previously proposed in that it applies the adjustment to the entire