Hi all,
I am trying to run explanatory regression:
Y = alpha + Beta1*X*I{X.*Y>0}+Beta2*X*I{X.*Y<=0}
where I{} is indicator function
Since dependent variable info is used on the RHS and includes information about the response coefficient sign, all the statistics will be high: t-stats, R2.
How could I test if the coefficients are significant? That is conditioning on the sign is not what makes coefficient significant.
I am trying to run explanatory regression:
Y = alpha + Beta1*X*I{X.*Y>0}+Beta2*X*I{X.*Y<=0}
where I{} is indicator function
Since dependent variable info is used on the RHS and includes information about the response coefficient sign, all the statistics will be high: t-stats, R2.
How could I test if the coefficients are significant? That is conditioning on the sign is not what makes coefficient significant.