General score tests for regression models incorporating 'robust' variance estimates

David Clayton () and Joanna Howson
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David Clayton: Diabetes and Inflammation Laboratory, Cambridge Institute for Medical Research, Cambridge University
Joanna Howson: Diabetes and Inflammation Laboratory, Cambridge Institute for Medical Research, Cambridge University

No 3, United Kingdom Stata Users' Group Meetings 2003 from Stata Users Group

Abstract: Stata incorporates commands for carrying out two of the three general approaches to asymptotic significance testing in regression models, namely likelihood ratio (lrtest) and Wald tests (testparms). However, the third approach, using "score" tests, has no such general implementation. This omission is particularly serious when dealing with "clustered" data using the Huber-White approach. Here the likelihood ratio test is lost, leaving only the Wald test. This has relatively poor asymptotic properties. Our paper describes a general implementation of score tests which generalizes to the clustered data case.

Date: 2002-03-16
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Persistent link: http://EconPapers.repec.org/RePEc:boc:usug03:03

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