[Gretl-devel] add and omit once again
Sorry to keep harping on this, but the "add" and "omit" have
been rather messy for a long time, and I'm struggling to
straighten them out, at least partially.
Part of the difficulty is that one could think of "omit" in
either of two ways:
1) It's shorthand for a special case of "restrict", with the
side effect (which one may or may not want) of estimating the
restricted model and making it the "last model".
2) It's a shorthand means of re-estimating the last model
with a smaller specification, with the side effect of
reporting a test for the implied restriction.
Lots of scripts in the gretl package use omit in the second
way, which makes me a bit reluctant to switch the default
behavior to NOT producing a new model.
In CVS I had introduced a --test-only switch but on further
thought that did not seem very clean, since we already had a
--wald switch which suppresses the "produce a new model"
behavior. So here's what I now have in CVS, and on which I'd
value comments:
1) For "omit", if you don't want a new model, use the --wald
flag. This will now produce the F-form of the Wald test by
default, but if you prefer the chi-square version, use the new
--chi-square option. Note that if you have any scripts which
use the --quiet option to "omit" to suppress the new model,
switch to --wald and you should be OK. (As it should, --quiet
now only affects what gets printed, not the substance of what
gets done.)
2) "add" is a bit different, but I've introduced an --lm
option that does an LM test using an auxiliary regression.
That way you don't get a new model, but right now the --lm
option is only for OLS. Otherwise you do get the augmented
model, even if you choose not to print it. I think this is OK,
since "add" (apart from the new LM option) is a sort of
synthetic command anyway: in effect, estimate the bigger model
and do an "omit" on it.
The documentation for add and omit is updated in CVS. If we're
OK with this I'll put a entry into the backward
incompatibility log.
Oh, one other thing: the latest version is not yet in the
snapshots for Windows and OS X. I thought I'd wait to hear
some reactions before doing that.
Allin