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Re: st: Insignificant coefficient in prediction
From
Richard Williams <[email protected]>
To
[email protected]
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: [email protected]
WWW: http://www.nd.edu/~rwilliam
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