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A Note On Influence Assessment In Score Tests

Santos Silva, Joao M C (2005) A Note On Influence Assessment In Score Tests. Working Paper. EconWPA.

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Building on the work of Lustbader and Moolgavkar (1985, 'A Diagnostic Statistic for the Score Test', Journal of the American Statistical Association 80, 375-379), this paper studies influence diagnostics for score tests. The diagnostic proposed by Lustbader and Moolgavkar is reassessed and alternative diagnostics are proposed. The new diagnostics are based on one-step approximations to the change in the parameter estimates, resulting from deleting one observation. The use of the different diagnostics is illustrated with simulations and with an example.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: artificial regressions; Newton's algorithm; one-step approximations.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Aug 2012 13:12
Last Modified: 07 Aug 2012 13:12

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