Re: [Gretl-devel] add and omit once again
Am 25.07.2011 22:15, schrieb Allin Cottrell:
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.
agreed
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.)
But what if you DO want a new model, but you want to use the chi-square
test?
What about a switch "--test=wald" or "--test=chi-sq" to choose the
test
variant, irrespective of whether a new model is produced or not? (And
maybe even "--test=lm", as per your remark below.) And then an
additional switch to indicate the wish to keep the old model (e.g.
"--keep" or whatever".
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.
I never really understood the justification for 'add', and this seems to
confirm my prejudice. Why not just ditch it on the way to gretl 2.0? I
know it's radical, but...
cheers,
sven