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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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