Re: [Gretl-users] DW item with more scientific words: Imhof integral negative value question/proposal
1) Yes 2) Thanks
--- Оригінальне повідомлення ---
Від кого: "Allin Cottrell" < cottrell(a)wfu.edu >
Дата: 17 травня 2014, 21:13:55
On Sat, 17 May 2014, oleg_komashko(a)ukr.net wrote:
(The regression is incorrect from econometric point of view, just to
give an easily reproducible example)
open /usr/local/share/gretl/data/misc/denmark.gdt
ols LRM const LRY
dw=$dwpval
(here Durbin-Watson = 0.298798)
> From script output:
? dw=$dwpval Imhof integral gave negative value
Error executing script: halting > dw=$dwpval
May be it worth to include into the function something like this: if dw<dw0 (or if
Imhof <=0) or pvalue<p0 print( pvalue<e-N )for some N, say e-16?
R ouput for the same dataset (dwtest{lmtest})
DW = 0.2988, p-value < 2.2e-16
Please don't re-post the same question. We got your first two posts,
and it's the weekend...
But anyway, I don't think I like the proposal very much. The $dwpval
accessor by its nature returns a definite value: there's no way it
can say "< 2.2e-16" or some such (and besides, I'm not sure where
that upper bound would come from).
What we could do (and might be an improvement) is to return NA
instead of generating an error if we get a negative Imhof integral,
and to say in the documentation that this probably indicates that
the true p-value is "very small", although we can't quantify it.
Allin Cottrell
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