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A Note On Influence Assessment In Score Tests

Listed author(s):
  • J.M.C. Santos Silva

    (ISEG/Universidade Tecnica de Lisboa)

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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Paper provided by EconWPA in its series Econometrics with number 0511008.

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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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