A NOTE ON INFLUENCE ASSESSMENT IN SCORE TESTS
João Santos Silva ()
Econometrics from EconWPA
Building on the work of Lustbader and Moolgavkar (1985, 'A Diagnostic Statistic for the Score Test', Journal of the American Statistical Association 80, 375-379), this paper studies influence diagnostics for score tests. The diagnostic proposed by Lustbader and Moolgavkar is reassessed and alternative diagnostics are proposed. The new diagnostics are based on one-step approximations to the change in the parameter estimates, resulting from deleting one observation. The use of the different diagnostics is illustrated with simulations and with an example.
Keywords: artificial regressions; Newton's algorithm; one-step approximations. (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2005-11-07, Revised 2005-11-12
Note: Type of Document - pdf; pages: 20
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0511008
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