The Calculus of M-estimation in R with geex

2017/09/05 by Bradley Saul, Saul, Bradley C., Michael G. Hudgens +1 · 1 citation
Mathematics · #Advanced Statistical Methods and Models #Applications (stat.AP) #FOS: Computer and information sciences #Statistical Methods and Bayesian Inference #Statistical Methods and Inference

paper · doi:10.48550/arxiv.1709.01413

openalex publication_date 2017/09/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• Longitudinal data analysis using generalized linear models

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