A score test for group comparisons in single-index models
Abstract. In this article, I derive a score test for the equality of one or more
parameters across groups of observations following estimation of a single-index
model. The test has a wide array of applications and nests Pearson’s chi-squared
test as a particular case. The postestimation command scoregrp implements the
test and works with logit, logistic, probit, poisson, or regress (see [R] logit,
[R] logistic, [R] probit, [R] poisson, and [R] regress). Finally, I show some
applications of the test.
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Paulo Guimarães
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scoregrp, score test, logit, logistic, probit, Poisson, regress
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