[R] glm gives t test sometimes, z test others. Why?

From: Paul Johnson <pauljohn32_at_gmail.com>
Date: Sun 05 Mar 2006 - 17:22:45 EST


I just ran example(glm) and happened to notice that models based on the Gamma distribution gives a t test, while the Poisson models give a z test. Why?

Both are b/s.e., aren't they?

I can't find documentation supporting the claim that the distribution is more like t in one case than another, except in the Gaussian case (where it really is t).

Aren't all of the others approximations based on the Wald idea that

    bhat^2



    Var(bhat)

is asymptotically Chi-square? And that sqrt(Chi-square) is Normal.

While I'm asking, I wonder if glm should report them at all. I've followed up on Prof Ripley's advice to read the Hauck & Donner article and the successors, and I'm persuaded that we ought to just use the likelihood ratio test to decide about individual parameters.

--
Paul E. Johnson
Professor, Political Science
1541 Lilac Lane, Room 504
University of Kansas

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Received on Sun Mar 05 17:38:44 2006

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