Finite-sample performance of the robust variance estimator in the presence of missing data
Finite-sample performance of the robust variance estimator in the presence of missing data
Theoretically, the maximum likelihood estimator has the sandwich-type asymptotic variance-covariance matrix under model misspecification. Its empirical estimator, that is called the robust variance estimator, is consistent. Thus, the estimator is asymptotically valid even under model misspecification. In practice, the robust variance estimator is used for computation of standard errors in …