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)
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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.