What do we mean by a "significant result" in econometrics?
The distinction between "statistical significance" and "economic significance" has received a good deal of attention in the literature. And rightly so.
Think about the estimated coefficients in a regression model, for example. Putting aside the important issue of the choice of a significance level when considering statistical significance, we all know that results that are significant in the latter sense may or may not be 'significant' when their economic impact is considered.
Marc Bellemare provided a great discussion of this in his blog a while back.
Here, I want to draw attention to a somewhat related issue - distinguishing between the statistical and economic overall goodness-of-fit of an economic model.
The distinction between "statistical significance" and "economic significance" has received a good deal of attention in the literature. And rightly so.
Think about the estimated coefficients in a regression model, for example. Putting aside the important issue of the choice of a significance level when considering statistical significance, we all know that results that are significant in the latter sense may or may not be 'significant' when their economic impact is considered.
Marc Bellemare provided a great discussion of this in his blog a while back.
Here, I want to draw attention to a somewhat related issue - distinguishing between the statistical and economic overall goodness-of-fit of an economic model.