The sandwich estimator, also known as robust covariance matrix estimator, heteroscedasticity-consistent covariance matrix estimate, or empirical covariance matrix estimator, has achieved increasing use in the econometric literature as well as with the growing popularity of generalized estimating equations. Its virtue is that it provides consistent estimates of the covariance matrix for parameter estimates even when the tted parametric model fails to hold or is not even speci ed. Surprisingly though, there has been little discussion of properties of the sandwich method other than consistency. We investigate the sandwich estimator in quasi-likelihood models asymptotically, and in the linear case analytically. We show that under certain circumstances when the quasi-likelihood model is correct, the sandwich estimate is often far more variable than the usual parametric variance estimate. The increased variance is a xed feature of the method and the price that one pays to obtain consistency even when the parametric model fails or when there is heteroscedasticity. We show that the additional variability directly affects the coverage probability of con dence intervals constructed from sandwich variance estimates. In fact, the use of sandwich variance estimates combined with t-distribution quantiles gives con dence intervals with coverage probability falling below the nominal value. We propose an adjustment to compensate for this fact.

The paper proposes a small area estimation approach that combines small area random effects with a smooth, non-parametrically specified trend. By using penalized splines as the representation for the non-parametric trend, it is possible to express the non-parametric small area estimation problem as a mixed effect model regression. The resulting model is readily fitted by using existing model fitting approaches such as restricted maximum likelihood. We present theoretical results on the prediction mean-squared error of the estimator proposed and on likelihood ratio tests for random effects, and we propose a simple non-parametric bootstrap approach for model inference and estimation of the small area prediction mean-squared error. The applicability of the method is demonstrated on a survey of lakes in north-eastern USA. Copyright 2008 Royal Statistical Society.

No abstract

The paper discusses asymptotic properties of penalized spline smoothing if the spline basis increases with the sample size. The proof is provided in a generalized smoothing model allowing for non-normal responses. The results are extended in two ways. First, assuming the spline coefficients to be a priori normally distributed links the smoothing framework to generalized linear mixed models (GLMM).We consider the asymptotic rates such that Laplace approximation is justified and the resulting fits in the mixed model correspond to penalized spline estimates. Secondly, we make use of a fully Bayesian viewpoint by imposing a priori distribution on all parameters and coefficients. We argue that with the postulated rates at which the spline basis dimension increases with the sample size the posterior distribution of the spline coefficients is approximately normal. The validity of this result is investigated in finite samples by comparing Markov Chain Monte Carlo (MCMC) results with their asymptotic approximation in a simulation study.