Robust testing in generalized linear models by sign flipping score contributions

Generalized linear models are often misspecified because of overdispersion, heteroscedasticity and ignored nuisance variables. Existing quasi‐likelihood methods for testing in misspecified models often do not provide satisfactory type I error rate control. We provide a novel semiparametric test, based on sign flipping individual score contributions. The parameter tested is allowed to be multi‐dimensional and even high dimensional. Our test is often robust against the mentioned forms of misspecification and provides better type I error control than its competitors. When nuisance parameters are estimated, our basic test becomes conservative. We show how to take nuisance estimation into account to obtain an asymptotically exact test. Our proposed test is asymptotically equivalent to its parametric counterpart.