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st: panels' quasiscores after -xtgee-
I'm working through the steps to implement the PA-GEE quasilikelihood analogue of
Rao's score test (as in SAS's -proc genmod . . . repeated . . . type3-); A. Rotnitzky &
N. P. Jewell, Hypothesis testing of regression parameters in semiparametric
generalized linear models for cluster correlated data. _Biometrika_ 77:485-97,
1990; J. W. Hardin & J. M. Hilbe, _Generalized Estimating Equations_ (Boca Raton:
Chapman & Hall / CRC, 2003), p. 174.
Along the way, I came across the following passage from the _Stata Reference
Manual_ (Release 7, Volume 4, Page 327) under the entry for -score-, "Note that
the scores for the independent panels can be obtained by . . . -egen ui=sum(uit),
by(t)- . . ."
Is that a typographical error? It seems as if it ought to be -egen ui=sum(uit), by(i)-.
I didn't see anything about it in the online errata list.
A more general question: from what I've seen, users of -proc genmod . . . repeated-
nearly reflexively use score tests in lieu of Wald tests, and I was led to believe that
a score test has somewhat better properties than a Wald test. Yet Hardin & Hilbe
don't go into much discussion or detail about score tests, and Stata doesn't have it
as a handy option in -xtgee-. Is there a disadvantage to score tests vis à vis Wald
tests in the context of PA-GEE that I'm not aware of?
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