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Re: st: LR test and robust SE under logit

From   Mark Schaffer <>
To, Thomas Schmeling <>
Subject   Re: st: LR test and robust SE under logit
Date   Mon, 18 Aug 2003 00:39:42 +0100 (BST)


The following Stata FAQ should be of some help:


Quoting Thomas Schmeling <>:

> 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
> *
> *   For searches and help try:
> *
> *
> *

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


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