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A Note On Influence Assessment In Score Tests

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Author Info
J.M.C. Santos Silva (ISEG/Universidade Tecnica de Lisboa)

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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.

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File URL: http://129.3.20.41/eps/em/papers/0511/0511008.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0511008.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 20 pages
Date of creation: 07 Nov 2005
Date of revision: 12 Nov 2005
Handle: RePEc:wpa:wuwpem:0511008

Note: Type of Document - pdf; pages: 20
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Web page: http://129.3.20.41

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Related research
Keywords: artificial regressions; Newton's algorithm; one-step approximations.;

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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This page was last updated on 2009-11-20.

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