Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Bradley C. Saul, Michael G. Hudgens
Title: The Calculus of M-Estimation in R with geex
Abstract: M-estimation, or estimating equation, methods are widely applicable for point estimation and asymptotic inference. In this paper, we present an R package that can find roots and compute the empirical sandwich variance estimator for any set of user-specified, unbiased estimating equations. Examples from the M-estimation primer by Stefanski and Boos (2002) demonstrate use of the software. The package also includes a framework for finite sample, heteroscedastic, and autocorrelation variance corrections, and a website with an extensive collection of tutorials.

Page views:: 2270. Submitted: 2018-06-03. Published: 2020-02-18.
Paper: The Calculus of M-Estimation in R with geex     Download PDF (Downloads: 716)
geex_1.0.12.tar.gz: R source package Download (Downloads: 50; 617KB)
v92i02.R: R replication code Download (Downloads: 67; 10KB)

DOI: 10.18637/jss.v092.i02

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.