[R] analysis of data with observation weights

Thomas Lumley tlumley at u.washington.edu
Fri Nov 15 19:13:38 CET 2002

On Fri, 15 Nov 2002, bojaniss wrote:

> 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.

In the gee package.


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