Joseph Coveney <[email protected]> wrote:
> Along the way, I came across the following passage from the
> _Stata Reference Manual_ (Release 7, Volume 4, Page 327)
> under the entry for -score-, "Note that the scores for the
> independent panels can be obtained by . . . -egen
> ui=sum(uit), by(t)- . . ."
>
> Is that a typographical error? It seems as if it ought to
> be -egen ui=sum(uit), by(i)-. I didn't see anything about
> it in the online errata list.
Yes.
> A more general question: from what I've seen, users of
> -proc genmod . . . repeated- nearly reflexively use score
> tests in lieu of Wald tests, and I was led to believe that a
> score test has somewhat better properties than a Wald test.
> Yet Hardin & Hilbe don't go into much discussion or detail
> about score tests, and Stata doesn't have it as a handy
> option in -xtgee-. Is there a disadvantage to score tests
> vis � vis Wald tests in the context of PA-GEE that I'm not
> aware of?
There are no disadvantages of which I am aware. The paper
to which you referred outlines three different approaches
to building test statistics for various hypotheses on the
coefficients of the model. It does not offer critical
comparisons of the three. In preparing the chapter to
which you referred, I searched for but did not find any
treatment in the literature specific to GEE models, but I
will keep looking.
The three tests are asymptotically equivalent. We can't
make unrestricted statements of comparison of the tests; i.e.,
we can't say that the LM test has better properties than
the Wald test. We can say, the LM test statistic more
closely follows its prescribed distribution than does the
Wald test in certain circumstances. An example is a
null hypothesis on a single coefficient where the
value of the null is "far" from the value found in the
unrestricted model.
Current practice indicates that the LR test is preferred
wherever possible. There is no clear rule for choosing
between the Wald and LM tests even in the case of simpler
models like multiple regression. For example, see
Berndt and Savin (1977) "Conflict among criteria for testing
hypotheses in the multivariate linear regression model."
Econometrica 45 pages 1263-1277.
Best,
James
----------------------------------------------------------------------
James W. Hardin, Ph.D., Lecturer [email protected]
Department of Statistics, Blocker 416G 979-845-3141 (phone)
Texas A&M University Mail Stop-3143 979-845-3144 (fax)
College Station, TX 77843-3143 http://stat.tamu.edu/~jhardin
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