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Re: st: xtgee and corr(ind) vs corr(exch)
The xtgee command is the command for Generalized Estimating Equations (GEE).
Built on the iterative estimating algorithm of GLM, or generalized linear
models, the GEE algorithm with the exchangeable correlation matrix updates
the variance estimate at each iteration with leveled modified Pearson
residuals. This in turn makes an adjustment in fitted values. The result is
that one should expect the parameter estimates to be different when using the
exchangeable correlation matrix against the indepentent correlation matrix
(which is the same as simply modeling the data using the standard glm
When using glm with a robust estimator, teh paramter estimates remain the
same since the adjustment is made post hoc; i.e. one additional iteration is
made, but with an adjustment made to the variance-covariance martix. The same
is the case with GEE when using the robust variance estimate - the parameter
estimates will not change.
I trust that this helps clarify why you see different parameter estimates in
the two models.
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