C40. Sandwich robustness

Topic: Marginal models, and two responses at once · more questions on this topic
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What misspecification can the GEE sandwich covariance estimator tolerate? Does it repair an incorrect mean model?

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Definitions/notation. The sandwich estimator estimates the sampling covariance of the GEE coefficient estimator using empirical cluster residual variation, allowing the working covariance to be misspecified. It does not repair an incorrect mean model: its usual robustness is asymptotic with many independent clusters, a correct marginal mean, valid estimating equations and regularity conditions, not a guarantee for small samples or informative missingness.