[Gretl-devel] Re: 'omit const' doesn't work
Am 29.09.2019 um 20:08 schrieb Allin Cottrell:
On Sun, 29 Sep 2019, Sven Schreiber wrote:
> omit const # error
> </hansl>
>
> This should work, no?
It's not specifically "omit const" that's not working, it's using
"omit" on the sole regressor (whatever it may be) in the prior model,
thereby leaving no model at all.
Why would one want to do that?
Well, there are several use cases:
- In this case it's a regression-based test for a non-zero mean of the
LHS series, which is a standard testing application. I know there are
other ways to perform such a test, e.g. the explicit t-stat that I also
used in the example.
Actually, I stumbled over this thing while implementing a forecasting
test for FEP, where a certain constructed series has zero mean under the
null. The nice thing about using a regression is that you also get
robustified inference basically for free.
- Or think about a bivariate regression model for standardized series
without a constant term a priori. You still might want to test for the
influence of the only RHS variable.
thanks
sven