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Re: st: RE: Testing nested models using logistic regression with robust standard errors


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Testing nested models using logistic regression with robust standard errors
Date   Mon, 28 Apr 2008 17:24:43 -0500

At 03:56 PM 4/28/2008, John LeBlanc wrote:
Thanks for the reply. I take your point about the limitations of sw regression and I will be more hesitant in using them. However, whether one uses sw or whether a more appropriate theory-driven approach with thoughtful removal of variables, there is still a problem of testing whether a more parsimonious model differs in the fit of the data from its more saturated model.

Is there any alternative to lrtest that is appropriate for robust SE? Is the problem that one can't really specify the error distributions of these models when robust SE are used?
You can always just use a Wald test, e.g. if you want to test the joint significance of x3 and x4, do something like

logit y x1 x2 x3 x4, robust
test x3 x4

For that matter, by default, stepwise uses Wald tests; you have to explicitly request likelihood ratio tests if you want them.


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Richard Williams, Notre Dame Dept of Sociology
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