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st: testing nest models in Poisson regression


From   "Visintainer, Paul" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: testing nest models in Poisson regression
Date   Thu, 26 Aug 2010 11:51:27 -0400

I'm estimating two models (one nested within the other) with poisson regression with the robust option.  I'd like to test whether a block of indicator variables is significant in the model.  If I were using logistic regression, I would use the -lrtest-.  However, for Poisson models with the robust option, the lrtest is invalid.  In fact, with the robust option, the outputs report a Wald chi-square, rather than a LR chi-square, for the test of the model against the null.

Would it be valid to test the difference in the models by taking the difference between the two model Wald chi-squares and the difference between the model d.f.s and using the chi-square distribution?  (I'm assuming that the difference between two chi-squares is a chi-square with the appropriate degrees of freedom).  

Any suggestions would be appreciated.

Thanks.

________________________________________________
Paul F. Visintainer, PhD
Springfield, MA 01199

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