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st: LR test and robust SE under logit


From   Thomas Schmeling <tschmeling@ric.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: LR test and robust SE under logit
Date   Sun, 17 Aug 2003 17:21:46 -0400

I am estimating a logit model using robust standard errors (via clustering
on a subject ID variable).  I want to compare a restricted model with a
full model.  STATA tells me that LR test cannot be used with robust SEs,
although I can get the LR test results by using the 'force' option.

Can anyone point me to a discussion of why LRtest is invalid under robust
SE?  Does anyone have advice on how to proceed where I need to use the
Robust SE to estimate the model correctly and want to compare the full and
restricted models?

Tom

--------------------------
Dept. of Political Science
Rhode Island College
600 Mount Pleasant Ave. Providence, RI 02908
Phone: (401) 456-8722


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