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st: large sample bias

From   Bülent Köksal <>
Subject   st: large sample bias
Date   Thu, 3 Jan 2013 17:17:12 +0200

Dear All,

Is there a concept called large sample bias? If so, can this occur for
a panel fixed effects estimation?

When we have a sufficiently large sample (as in some market
microstructure studies that use high-frequency data), probably all RHS
variables will be significant. This is expected as the large sample
size allows us to estimate the parameters with high precision. Now I
understand that when the sample size is huge, it would be a good idea
to include some sort of discussion about economic significance of the
coefficients since these coefficients will be statistically
significant even if they are very close to zero.

But are there any other problems with a large sample? I thought a
large sample size would always be a good thing.

Bülent Köksal

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