returning p-values when using lscov function
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How to return the p-values of a weighted least squares regression performed using the lscov command?
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Tom Lane
on 11 Jan 2013
If you want p-values for each coefficient, then t is the coefficient estimate divided by its standard error (both returned by lscov), and the p-value is 2*tcdf(t,df), and df=length(b)-length(x) using the notation in the reference page.
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Tom Lane
on 14 Jan 2013
lscov does not return R-square, so you'd have to calculate it yourself. You'd probably want to compute the various sums of squares including the weights in those formulas.
Doug Rubino
on 25 Oct 2022
I'm having trouble understanding this term: 2*tcdf(t,df)
tcdf is a cumulative distribution function so it has a range of [0 1]. Doesn't this mean the p-value has a range of [0 2]?
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