On Dec 31, 2003, at 2:33 AM, Stephen wrote:
Would you consider a sample size of 168 small, and as such any
inferences drawn on the basis of LM or LLR instead of Wald
could be wrong?
Stephen
Generally I would not consider that to be too small, but the N alone
does not necessarily tell you that much...for instance consider a
characteristic shared by only 5% of the observations that is involved
with several coefficients, and you want to test for their joint
significance. That test might not have a great deal of power, which is
related to 0.05*168 = 8 observations, not 168.
I'd suggest you read what Greene has to say about inference from these
three forms of the test statistic in small samples. Econometric
Analysis, 5th ed, section 17.5.
Happy new year
Kit
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