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Re: st: test of significant between coefficients


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: test of significant between coefficients
Date   Tue, 27 Sep 2011 10:48:33 -0400

At 10:35 AM 9/27/2011, Andrea Rispoli wrote:
Dear Statalisters,
I am running a test of significance between two coefficients of the
same OLS regression.
My question is : if the two coefficients are not significant, does it
still make sense to conduct the test? I am asking because sometimes
while the individual coefficients are not significant the difference
between them is significant, so I was trying to understand the meaning
of this result.
Thank you!
AR

It can happen. The individual tests are testing whether the coefficients equal zero. The equality test might be testing whether, say, -.5 significantly differs from .5. In any event, there is nothing that says all your tests have to be logically consistent with each other. The overall F or chi-square statistic might be significant for a model, while none of the individual coefficients are.

A more common situation might be where a coefficient is significant in one group but not in another. I always warn my students to be careful about saying X is important for one group but not the other. If, say, you are comparing whites and black, your white sample size might be much larger, which can help the effect to achieve significance for whites but not blacks. The actual estimated coefficients, however, may be quite similar.


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Richard Williams, Notre Dame Dept of Sociology
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