Another question related to bootcov(): A reviewer is concerned with the fact that bootstrapping the standard errors does not give the same answers each time. What is a good way to address this concern? Could I bootstrap, say, 100 times and report the mean standard error of those 100 estimates? I am already doing 1,000 replications in the bootstrap, but of course the answer is still slightly different each time.
Frank E Harrell Jr wrote: > > > robcov does not use bootstrapping. It uses the cluster sandwich > (Huber-White) variance-covariance estimator for which there are > references in the help file (see especially Lin). > > Both robcov and bootcov work best when there is a large number of small > clusters. If the clusters are somewhat large and greatly vary in size, > expect to be in trouble and consider a full modeling approach > (generalized least squares, mixed models, etc.). > > One advantage of robcov is that you get the same result every time, > unlike bootstrapping. But even in the case of cluster sizes of one, the > sandwich estimator can be inefficient (see the Gould paper) or can > result in the "right" estimates of the "wrong" quantity (see a paper by > Friedman in American Statistician). > > Frank > >> >> Thank you. > > > -- > Frank E Harrell Jr Professor and Chair School of Medicine > Department of Biostatistics Vanderbilt University > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- View this message in context: http://www.nabble.com/Clustered-data-with-Design-package--bootcov%28%29-vs.-robcov%28%29-tp23016400p23683238.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.