Re: st: RE: Testing nested models using logistic regression with robust standard errors

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

At 03:56 PM 4/28/2008, John LeBlanc wrote:
> Thanks for the reply. I take your point about the limitations of sw 
> regression and I will be more hesitant in using them. However, 
> whether one uses sw or whether a more appropriate theory-driven 
> approach with thoughtful removal of variables, there is still a 
> problem of testing whether a more parsimonious model differs in the 
> fit of the data from its more saturated model.
>
> Is there any alternative to lrtest that is appropriate for robust 
> SE? Is the problem that one can't really specify the error 
> distributions of these models when robust SE are used?
You can always just use a Wald test, e.g. if you want to test the 
joint significance of x3 and x4, do something like

logit y x1 x2 x3 x4, robust
test x3 x4

For that matter, by default, stepwise uses Wald tests; you have to 
explicitly request likelihood ratio tests if you want them.


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Richard Williams, Notre Dame Dept of Sociology
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