Re: st: Lrtest versus Test

[Richard Williams <Richard.A.Williams.5@nd.edu>]

> With logistic regression, especially, I believe that the likelihood ratio 
> test
> is generally preferred:  there is an uncommon set of circumstances with
> logistic regression that lead to a likelihood function that renders the Wald
> test wildly inaccurate.  It's known as the Hauck-Donner Phenomenon or Hauck-
Thanks Joseph.  I won't claim to fully understand this after a quick read, 
but statements like "a small t-value could indicate "either an 
insignificant OR a very significant effect"  certainly give reason for 
concern!  If I'm reading this correctly, the truly paranoid should not rely 
on the z statistics reported by the logistic routine.  Instead, you should 
estimate a series of constrained models where you drop one var at a time 
and compare to the model with all the vars in.  Incidentally, SPSS's Nomreg 
routine with the LRT option will do this for you, so that is one area where 
the competition may have a leg up on Stata.  (This is computationally 
intensive, however, and I think SPSS says somewhere that it could be a good 
time to go get coffee if you are going to use this option.)

So, it would be nice if some future edition of Stata

(a) would give you the option of reporting the LR statistics for each 
coefficient, just like SPSS will let you do now.  (I imagine this would be 
a fairly simple ado file?  Has somebody maybe done it already?)

(b) had an LrTest command that didn't require you to first estimate the 
constrained model yourself; it would just do it for you.


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