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st: Re: hypothesis tests

From   Christopher F Baum <[email protected]>
To   [email protected]
Subject   st: Re: hypothesis tests
Date   Wed, 31 Dec 2003 07:07:40 -0500

On Dec 31, 2003, at 2:33 AM, Stephen wrote:

Would you consider a sample size of 168 small, and as such any
inferences drawn on the basis of LM or LLR instead of Wald
could be wrong?

Generally I would not consider that to be too small, but the N alone does not necessarily tell you that much...for instance consider a characteristic shared by only 5% of the observations that is involved with several coefficients, and you want to test for their joint significance. That test might not have a great deal of power, which is related to 0.05*168 = 8 observations, not 168.

I'd suggest you read what Greene has to say about inference from these three forms of the test statistic in small samples. Econometric Analysis, 5th ed, section 17.5.

Happy new year

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