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From: davidou on 13 Aug 2010 04:37
Hi folks,

My question is very easy: what criteria should I choose to select a
model?

I know 3 ways to select one:
- Likelihood ratio test
- Wald test
- score test (= Lagrange multiplier)

The most commonly used test seems to be the likelihood ratio test,
why?
In what case should I use the score test? The Wald test?
In proc logistics, there is the "selection=score" option, is there an
equivalent with the likelihood ratio test? Wald test?

Thanks in adavance

David
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