There exists a variety of interval estimators for the overall treatment effect in a random-effects meta-analysis. A recent literature review summarizing existing methods suggested that in most situations, the Hartung-Knapp/Sidik-Jonkman (HKSJ) method was preferable. However, a quantitative comparison of those methods in a common simulation study is still lacking. Thus, we conduct such a simulation study for continuous and binary outcomes, focusing on the medical field for application.Based on the literature review and some new theoretical considerations, a practicable number of interval estimators is selected for this comparison: the classical normal-approximation interval using the DerSimonian-Laird heterogeneity estimator, the HKSJ interval using either the Paule-Mandel or the Sidik-Jonkman heterogeneity estimator, the Skovgaard higher-order profile likelihood interval, a parametric bootstrap interval, and a Bayesian interval using different priors. We evaluate the performance measures (coverage and interval length) at specific points in the parameter space, i.e. not averaging over a prior distribution. In this sense, our study is conducted from a frequentist point of view.We confirm the main finding of the literature review, the general recommendation of the HKSJ method (here with the Sidik-Jonkman heterogeneity estimator). For meta-analyses including only 2 studies, the high length of the HKSJ interval limits its practical usage. In this case, the Bayesian interval using a weakly informative prior for the heterogeneity may help. Our recommendations are illustrated using a real-world meta-analysis dealing with the efficacy of an intramyocardial bone marrow stem cell transplantation during coronary artery bypass grafting.
A comparison of heterogeneity variance estimators in simulated random‐effects meta‐analyses
