On Jul 21, 2011, at 23:11 , David Winsemius wrote: > > On Jul 21, 2011, at 3:38 PM, zlu wrote: > >> Hi Peter, > > I'm not sure how many people still have 9 month old postings on their mail > client and will know that Peter Dalgaard is the intended recipient. > >> Do you have any idea or codes of construct a score test based confidence >> interval for coefficients in logistic regression? > > I realize that Peter knows more than I about this, so take this as working > hypothesis and believe anything he says more than what I say. My idea: set > the glm control ..., maxit=1, so you only get one iteration and then use the > deviance results with the usual chi-square assuptions. I fear this could be > too easy or else Peter would have already thought of this dodge. >
I did think along those lines but couldn't convince myself that it would work. Rather, what you need is the deviance (SSD) of the approximating weighted regression analysis. Anyways, anova(..., test="Rao") has been implemented in R-devel for a while. This doesn't do confidence intervals, though. That is a somewhat harder problem -- you'd basically need to redo the likelihood profiling code with a different criterion. For a slow and dirty technique, you could see if a parameter value beta0 is in the CI by including an offset of beta0*x and computing the score test for whether the shifted parameter (beta-beta0) is zero. Then use uniroot(). -- Peter Dalgaard Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Email: pd....@cbs.dk Priv: pda...@gmail.com ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.