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Re: st: Insignificant coefficient in prediction

From   Richard Williams <>
Subject   Re: st: Insignificant coefficient in prediction
Date   Wed, 01 Dec 2010 17:36:10 -0500

At 12:54 PM 12/1/2010, Mike Kim wrote:
Hi all,

I have a question about prediction. Linear predictions in Stata (probably in
all software) after any regression seem to use all estimated coefficients
regardless their statistical significance. How can I understand that we use
insignificant coefficients in forecasting?

One more addition to what everyone else has said: Just because a coefficient does not significantly differ from 0 does not mean its estimated value is close to 0. Both the coefficient and its standard error could be huge, so you just resetting the coefficient to zero yourself could have a huge impact on the prediction. If you really think the effect of a variable is zero, then re-estimate the model without the variable.

Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu

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