This examples uses the vaccinesim dataset from the inferference package to compare the estimated covariance matrix obtained from geex and sandwich. An example \(\psi\) function written in R.

This function computes the score functions for a GLM.

Compare sandwich variance estimators to sandwich treating individuals as units:

## 
## Attaching package: 'geex'
## The following object is masked from 'package:methods':
## 
##     show
## [1] -0.36869683 -0.02037916
## (Intercept)          X1 
## -0.36869683 -0.02037916
##               [,1]          [,2]
## [1,]  0.0028345579 -0.0007476536
## [2,] -0.0007476536  0.0003870030
##               (Intercept)            X1
## (Intercept)  0.0028345579 -0.0007476536
## X1          -0.0007476536  0.0003870030

Pretty darn good! Note that the geex method is much slower than sandwich (especially using method = 'Richardson' for numDeriv), but this is because sandwich uses the closed form of the score equations, while geex compute them numerically. However, geex’s real utility comes when you have more complicated estimating equations. Also, the analyst has the ability to code faster \(\psi\) functions by optimizing their code or using Rccp, for example.