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
2013-1-11
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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
2013-1-14
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
2022-10-25
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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