The Standard Error of Regressions
Deirdre McCloskey and
Journal of Economic Literature, 1996, vol. 34, issue 1, 97-114
Statistical significance as used in economics has weak theoretical justification. In particular it merges statistical and substantive significance. The 182 papers using regression analysis in the American Economic Review in the 1980s were tested against 19 criteria for the accepted use of statistical significance. Most, some three-quarters of the papers, did poorly. Likewise, textbooks in econometrics do not distinguish statistical and economic significance. Statistical significance should not be the focus of empirical economics.
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