The Calculus of M-Estimation in R with geex | Zendy

Bradley Saul | Zendy; Michael G. Hudgens | Zendy

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The Calculus of M-Estimation in R with geex

Author(s) -

Bradley Saul,

Michael G. Hudgens

Publication year - 2020

Publication title -

journal of statistical software

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 7.636

H-Index - 145

ISSN - 1548-7660

DOI - 10.18637/jss.v092.i02

Subject(s) - estimator , heteroscedasticity , mathematics , point estimation , computer science , variance (accounting) , inference , r package , estimation , set (abstract data type) , statistics , autocorrelation , programming language , artificial intelligence , accounting , management , economics , business

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.

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