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On a robust significance test for the Cox regression model

Tadeusz Bednarski;  Filip Borowicz — 2006

Discussiones Mathematicae Probability and Statistics

A robust significance testing method for the Cox regression model, based on a modified Wald test statistic, is discussed. Using Monte Carlo experiments the asymptotic behavior of the modified robust versions of the Wald statistic is compared with the standard significance test for the Cox model based on the log likelihood ratio test statistic.

On inconsistency of Hellwig's variable choice method in regression models

Tadeusz Bednarski;  Filip Borowicz — 2009

Discussiones Mathematicae Probability and Statistics

It is shown that a popular variable choice method of Hellwig, which is recommended in the Polish econometric textbooks does not enjoy a very basic consistency property. It means in particular that the method may lead to rejection of significant variables in econometric modeling. A simulation study and a real data analysis case are given to support theoretical results.

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