The Calculus of M-estimation in R with geex

TL;DR

This paper introduces an R package that facilitates solving M-estimation problems and computing variance estimates, with examples, variance correction tools, and extensive tutorials to support users.

Contribution

The paper presents a versatile R package for M-estimation that handles root finding, variance estimation, and includes tools for finite sample corrections and tutorials.

Findings

Successfully finds roots for user-defined estimating equations

Computes empirical sandwich variance estimators accurately

Provides a framework for finite sample variance corrections

Abstract

M-estimation, or estimating equation, methods are widely applicable for point estimation and asymptotic inference. In this paper, we present an R package that can find roots and compute the empirical sandwich variance estimator for any set of user-specified, unbiased estimating equations. Examples from the M-estimation primer by Stefanski and Boos (2002) demonstrate use of the software. The package also includes a framework for finite sample variance corrections and a website with an extensive collection of tutorials.