returning p-values when using lscov function

2013 1 10
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更新时间：2022 10 25
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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
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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Janis
Janis 2013-1-11
编辑：Janis 2013-1-11
Thank you! Is there a command for returning the r-squared, as is the case using robustfit, or must it also be calculated?
Tom Lane
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
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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