consider this: <hansl> nulldata 10 series x = normal() ols x const stat = $coeff(const) / $stderr(const) printf "Signif. of const: %g\n", 2* pvalue(t, $T-1, abs(stat)) omit const # error </hansl> This should work, no?

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.

Am 30.09.2019 um 03:21 schrieb Allin Cottrell: > OK, but these are just use cases for determining the statistical > significance of a single (unique) regressor. I agree that task is not > that uncommon, but it's easily accomplished without use of "omit". > > If you take a look at the help for omit it's pretty clear (I think) that > it's not intended for that purpose: "It calculates a Wald test for the > joint significance of the variables in varlist, which should be a subset > of the independent variables in the model last estimated." The subset > can have just one member, but it's expected to be a proper subset. And > "By default the restricted model is estimated and it replaces the > original as the 'current model'". To be honest I don't find that totally clear (I thought subset was meant in contrast to superset), but it's no big deal, and I admit that I haven't checked back on the doc for 'omit'. However, I guess at least the error message could be adjusted, it currently says "not available for this estimator".