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

[Richard Williams <richardwilliams.ndu@gmail.com>]

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.)


-------------------------------------------
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
WWW:    http://www.nd.edu/~rwilliam

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