A NOTE ON INFLUENCE ASSESSMENT IN SCORE TESTS

João M.C. Santos Silva ()

Econometrics from EconWPA

Abstract: 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: Written
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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