The robust variance estimator for two–stage models
James W. Hardin
Texas A&M University
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Abstract. This article discusses estimates of variance for two-stage models. We
present the sandwich estimate of variance as an alternative to the
Murphy–Topel estimate. The sandwich estimator has a simple formula
that is similar to the formula for the Murphy–Topel estimator, and the
two estimators are asymptotically equal when the assumed model distributions
are true. The advantages of the sandwich estimate of variance are that it
may be calculated for the complete parameter vector, and that it requires
estimating equations instead of fully specified log likelihoods.
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James W. Hardin
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robust variance estimator, Murphy–Topel estimator, two-stage estimation, estimating equation
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