In the framework of generalized linear models, the nonrobustness of classical estimators and tests for the parameters is a well known problem, and alternative methods have been proposed in the literature. These methods are robust and can cope with deviations from the assumed distribution. However, they are based on first order asymptotic theory, and their accuracy in moderate to small samples is still an open question. In this paper, we propose a test statistic which combines robustness and good accuracy for moderate to small sample sizes. We combine results from Cantoni and Ronchetti [E. Cantoni, E. Ronchetti, Robust inference for generalized linear models, Journal of the American Statistical Association 96 (2001) 1022-1030] and Robinson, Ronchetti and Young [J. Robinson, E. Ronchetti, G.A. Young, Saddlepoint approximations and tests based on multivariate M-estimators, The Annals of Statistics 31 (2003) 1154-1169] to obtain a robust test statistic for hypothesis testing and variable selection, which is asymptotically [chi]2-distributed as the three classical tests but with a relative error of order O(n-1). This leads to reliable inference in the presence of small deviations from the assumed model distribution, and to accurate testing and variable selection, even in moderate to small samples.
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Volume (Year): 100 (2009) Issue (Month): 9 (October) Pages: 2126-2136 Download reference. The following formats are available: HTML
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