Question

I’d like to be able to fit a gee model with exchangeable var-cov matrix and then run a Huber-White sandwich estimator on the resulted model to guard against biased results. My code for my GEE model is as below:

Proc GENMOD data = Cohort1ONLY;
class SSID SCHIID0809 Ethnicity(ref = "500") ELLbaseline GENDER freeLunch failedInd
GRADE0809(ref = "3")/param = ref;
Model SSMATH0809 = TRT0809 SSMATH0708 SSENG0708 GRADE0809 ELLbaseline GENDER freeLunch 
ethnicity failedInd; 
repeated subject = SCHIID0809/ type = exch /*corrw: to print the varcov matrix*/; 
Run;

I know that the Huber-White Sandwich estimator (Empirical) can easily be implemented in Proc MIXED with the Empirical Option. I have to use GENMOD because of all reference groups that I’ve defined above. Is there anyway that I can pass the result through a macro that does the HuberWhite sandwich estimator based on the residuals got from the GENMOD above?

I appreciate your help.
-Sepehr

Answer 1

One way is to use empirical parameter covariance matrix using the COVB option available in proc GENMOD. In order to use the empirical covariance matrix estimator (also known as robust variance estimator, or sandwich estimator or Huber-White method) we should add the covb option to repeated statement in proc genmod:

repeated subject={subject id} / covb;