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Why does Logistic Regression use the Wald test, whereas Linear Regression uses the t-test?

What causes the difference?

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Below is a short explanation. If you have questions, I am happy to elaborate or go into further detail.

Linear Regression:

The use of t-tests is linear regression comes from the distribution of normally distributed error terms:

$y_i=X_i'\beta + \epsilon_i$

where $\epsilon_i \sim N(0,1)$ iid. It follows that

$\frac{\hat{\beta_j}-\beta_{j0}}{se(\hat{\beta_j})} \sim t(N-K),$

where $N$ is the sample size and $K$ is the length of the vector $\beta$.

Note that the default in most regression software packages test the hypothesis that $\hat{\beta_j}=0$, i.e. setting $\beta_{j0}$ equal to zero.

Logistic Regression:

Logistic regression assumes errors follow the logistic distribution. Consequently, the term $\frac{\hat{\beta_j}-\beta_{j0}}{se(\hat{\beta_j})}$ does not follow a t-distribution. Instead, we can use the Wald test, which relies on asymptotic normality as is implied by the Central Limit Theorem.

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  • $\begingroup$ Logistic regression assumes errors follow the logistic distribution. Do you know of the derivation/explanation for this? $\endgroup$ – Trajan Apr 21 '20 at 11:10
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    $\begingroup$ Logistic regression is motivated by having a continuous, unobserved (latent) variable that determines the binary outcome: $y^*=X\beta+\epsilon.$ When the latent variable is positive (negative), the binary dependent variable takes a value of 1 (0). Logistic regression assumes $\epsilon_i$ follows standard logistic distribution, which is used to derive the likelihood function and estimate the model parameters $\beta.$ $\endgroup$ – dlnB Apr 21 '20 at 14:23
  • $\begingroup$ I can elaborate further if you wish. Please accept the answer if you are satisfied. $\endgroup$ – dlnB Apr 21 '20 at 14:24

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