Has anyone used Gauss-Newton regression method ala Davidson and
MacKinnon for a logistic regression in Stata? If so, do you have any
code?
This is the code I am using:
logit y x
predict yhat
gen multiplier = yhat*(1-yhat)
gen e = y - yhat
gen weight = 1/sqrt(multiplier)
gen w_e = weight * e
gen w_x = weight * x
gen w_z = weight * z
regress w_e w_x w_z
test w_z
If the coefficient on w_z is not significantly different from 0, then I
can omit it from the regression.
David Richmond
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