A Note On Influence Assessment In Score Tests
AbstractBuilding 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.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0511008.
Length: 20 pages
Date of creation: 07 Nov 2005
Date of revision: 12 Nov 2005
Note: Type of Document - pdf; pages: 20
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artificial regressions; Newton's algorithm; one-step approximations.;
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