Why GEE gives the right coefficients and better standard errors?

jrfiedler / causal_inference_python_code

Python code for part 2 of the book Causal Inference: What If, by Miguel Hernán and James Robins

1.24k stars 385 forks source link

Why GEE gives the right coefficients and better standard errors? #4

Open roofkitty opened 5 years ago

roofkitty commented 5 years ago

It is mentioned in Chapter 12 and section 12.2 that WLS gives the right coefficients but the standard error is off and GEE gives better standard errors. Can you provide more detail about this statement?

jrfiedler commented 5 years ago

The book authors (Hernán and Robins) co-authored a paper that gives more detail and additional references:

Hernán MA, Brumback B, Robins JM. Marginal structural models to estimate the joint causal effect of nonrandomized treatments. Journal of the American Statistical Association 2001; 96(454):440-448