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Re: st: LR test and robust SE under logit


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Thomas Schmeling <tschmeling@ric.edu>
Subject   Re: st: LR test and robust SE under logit
Date   Mon, 18 Aug 2003 00:39:42 +0100 (BST)

Tom,

The following Stata FAQ should be of some help:

http://www.stata.com/support/faqs/stat/lrtest.html

--Mark

Quoting Thomas Schmeling <tschmeling@ric.edu>:

> 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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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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