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A Note On Influence Assessment In Score Tests

Author

Listed:
  • J.M.C. Santos Silva

    (ISEG/Universidade Tecnica de Lisboa)

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.

Suggested Citation

  • J.M.C. Santos Silva, 2005. "A Note On Influence Assessment In Score Tests," Econometrics 0511008, University Library of Munich, Germany, revised 12 Nov 2005.
    • Handle: RePEc:wpa:wuwpem:0511008
    Note: Type of Document - pdf; pages: 20
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0511/0511008.pdf
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    More about this item

    Keywords

    artificial regressions; Newton's algorithm; one-step approximations.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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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