[Rd] New code in R-devel: Rao score test for glm.

peter dalgaard pdalgd at gmail.com
Wed May 11 11:36:59 CEST 2011

I have just committed some code to the r-devel branch to implement the Rao efficient score test. This is asymptotically equivalent to the LRT, but there is some indication that it might have better properties in smaller samples since it is based more directly on the distribution of the sufficient sums under the null hypothesis (e.g., if you have a divergent fit to the model under the alternative, the chi-square distribution of the likelihood ratio may be dubious and the Wald test is surely wrong).

It works fairly obviously by using test="Rao" in various methods. See for instance the last part of example(anova.glm).

While going over the code, I took the liberty of standardizing the labeling of the p-value column to Pr(>Chi) and Pr(>F). This may break some scripts if they extract p-values using constructs like anova(glm.D93,test="Chisq")$"P(>|Chi|)"[2]. Apologies for the disturbance, but this sort of change just doesn't let itself be implemented with the usual deprecation sequence. The workaround should be straightforward (if you need something that works in multiple versions, then try both and choose the result that isn't NULL). 

Peter Dalgaard
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com

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