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Re: st: Very high t- statistics and very small standard errors


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: Very high t- statistics and very small standard errors
Date   Mon, 30 Apr 2012 21:10:31 -0500

At 07:54 PM 4/30/2012, Laurie Molina wrote:
Hi everybody,
I'm running some OLS with around 4 million observations and 6
explanatory variables. My coefficients are always significants, with
very high t statistics and very low standard errors. for example t
statistic=20.6 and standard error= .000023. This is a cross sectional
data set.
I have run the VIF test and for all the variables the variance
inflation factor is less than 3.
I have also ran the Durbin test creating an index variable (_n) to see
wheter there is some sort of correlation in the error terms of my
regresion, but there is not.
Should I bee concerned about the significance of my coefficients? Is
there any problem with getting such a large t statistics and small
standard errors?
Thank you all in advance and best regards!!

With 4 million cases it is hard not to get statistically significant results. Whether they are worth caring about is another matter. For example, a $2 difference in the incomes of men and women may be statistically significant. $2 is not the same as $0. But how much you should care is another matter. So, if everything is highly significant, I would ask myself what the substantive significance of the findings is. (Actually I would do that even if the results were not so significant - I think many people do not pay enough attention to "So What?" sorts of questions.)


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