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st: correlation estimates in gee


From   Jeffries David <djeffries@mrc.gm>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: correlation estimates in gee
Date   Fri, 2 Oct 2009 11:11:42 +0000

How is the exchangeable correlation parameter (alpha) estimated for a generalised estimating equation?

For a binomial family with unbalanced panels, it is not as listed (Karim's implementation) on page 140 of the longitudinal/panel data manual (Stata 11). It doesn't appear to be Liang and Zeger's 1986 implementation either, although comments within the xtgee ado code say it is?

Within xtgee it is calculated as scalar `alpha' = `alpha'*`phi'/`cF'

phi is the sum of squared Pearson residuals / total observations
cF is 0.5*sum(ni*(ni-1)), where ni are the panel sizes




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