Empirical standard errors for longitudinal data mixed linear models

DOI10.1007/BF03372107MaRDI QIDQ1775976zbMATH OpenFDO

Authors Edward W. Frees, Chunfang Jin

Publication date 20 May 2005

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF03372107

zbMATH Keywords

generalized linear modelsheteroscedasticityjackknife estimatormixed linear modelspanel data modelsresidualssandwich estimatorssmall sample properties

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12) Monte Carlo methods (65C05)

Review text

The model under consideration is a special case of linear regression with independence among subjects. Such estimators as empirical covariation estimators and empirical standard errors (ESE) are widely used in statistical inferences connected with the mentioned regression models. The authors extend work of \textit{J. G. MacKinnon} and \textit{H. White} [J. Econom. 29, 53--57 (1985)] to the longitudinal data mixed linear models by considering alternative approaches to estimation of regression coefficient standard errors. The first type of the proposed estimators is jackknife, the second one is based on standardized residuals. The residual based estimators occur to be unbiased in many cases. Monte Carlo simulation experiments demonstrated that both alternatives have better small sample properties in hypothesis testing than the usual ESE, regardless whether heteroscedasticity is present. Tests based on both alternatives behave well in terms of size and power even when the covariance matrix is completely misspecified.

Recommendations

• The effect of misspecifying the random-effects distribution in linear mixed models for longitudinal data
• Two kinds of variance/covariance estimates in linear mixed models
• New heteroskedasticity-robust standard errors for the linear regression model
• Standard error of the method of simulated moment estimator for generalized linear mixed models
• Standard errors resilient to error variance misspecification

Cites work

• A Covariance Estimator for GEE with Improved Small‐Sample Properties
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Note on the Efficiency of Sandwich Covariance Matrix Estimation
• scientific article; zbMATH DE number 42417 (Why is no real title available?)
• scientific article; zbMATH DE number 3346000 (Why is no real title available?)
• Influence Diagnostics for Linear Longitudinal Models
• Longitudinal data analysis using generalized linear models
• On the robust variance estimator in generalised estimating equations
• Pseudo Maximum Likelihood Methods: Theory

This page was built for publication: Empirical standard errors for longitudinal data mixed linear models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1775976)