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List:       r-help
Subject:    Re: [R] stats::lm has inconsistent output when adding constant to dependent variable
From:       Mark Leeds <markleeds2 () gmail ! com>
Date:       2019-09-27 18:35:20
Message-ID: CAHz+bWZwwkfOdrFVBUEaJiSAfELoGSTLczo_cFNCiiwN=3Z3tA () mail ! gmail ! com
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Hi: In your example, you made the response zero in every case which
is going to cause problems.  In glm's, I think they call it the donsker
effect. I'm not sure what it's called
in OLS. probably a lack of identifiability. Note that you probably
shouldn't be using zeros
and 1's as the response in a regression anyway.

If you change the response to below, you get what  you'd expect.

y <- c(rep(0, 15), rep(1,15))

On Fri, Sep 27, 2019 at 1:48 PM David J. Birke <djbirke@berkeley.edu> wrote:

> Dear R community,
>
> I just stumbled upon the following behavior in R version 3.6.0:
>
> set.seed(42)
> y <- rep(0, 30)
> x <- rbinom(30, 1, prob = 0.91)
> # The following will not show any t-statistic or p-value
> summary(lm(y~x))
> #  The following will show t-statistic and p-value
> summary(lm(1+y~x))
>
> My expected output is that the first case should report t-statistic and
> p-value. My intuition might be tricking me, but I think that a constant
> shift of the data should be fully absorbed by the constant and not
> affect inference about the slope.
>
> Is this a bug or is there a reason why there should be a discrepancy
> between the two outputs?
>
> Best,
> David
>
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