[Gretl-devel] Re: $test accessor after biprobit
Am 27.10.2020 um 14:36 schrieb Allin Cottrell:
On Tue, 27 Oct 2020, Sven Schreiber wrote:
> Hi,
>
> prompted by Jack's recent biprobit explanation in the guide I checked
> whether the automatically run test is available via $test -- it's not
> (gives NA).
>
> I know biprobit is not a test but an estimation command. Does that mean
> that $test/$pvalue shouldn't be used there? Should there be a new
> 'modtest' incarnation?
The test is available as $model.independence_test. This should be
mentioned in the Guide. There are few typos in that area and I can
make the changes later today.
Excellent, thanks.
Somewhat related: The printed test result is the same whether or not the
--robust option is chosen for the biprobit command. Now I see that the
test is LR and as such of course doesn't use the VCVs. But is it
actually valid for example under heteroskedastic errors? If not, perhaps
it shouldn't be carried out then.
thanks
svne