[R] analysis of data with observation weights

bojaniss bojaniss at poczta.onet.pl
Fri Nov 15 17:01:48 CET 2002

Hello Thomas,

Friday, November 15, 2002, 4:35:13 PM, you wrote:

TL> The weights argument to lm and glm will give the right point estimates.
TL> The standard errors  will potentially be wrong.  This can be fixed with
TL> `sandwich' standard errors, so one option is to use gee() with each
TL> observation being in a `group' on its own. Similarly, the `robust'
TL> standard errors in coxph() will allow probability-weighted survival
TL> analyses.

TL> The sandwich standard errors used by gee() are not quite the same as the
TL> ones used by survey samplers, but they are very similar and they are
TL> consistent estimates of the same thing.

TL> The usual linear model standard errors are often pretty good even for
TL> probability weighting as long as  important covariates aren't strongly
TL> associated with the weights.

TL>         -thomas

Where can I find the gee() function, it's not in base package nor in
any packages I have installed.

I use R 1.5.1

Thank you.


Michal Bojanowski       mailto:mbojanowski at samba.iss.uw.edu.pl
Polish General Social Survey
Institute for Social Studies
University of Warsaw

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