Hi all,
Sorry in advance because I know that possibly it is not the best forum to ask for this question, due that this is not a very Gretl specific question. But I would know the expert opinion of Gretl list about this, if possible.
My question is as follows: In my briefly research career in economics, I had never heard about "effect size" question. Recently, I have studied a very basic course in statistics at coursera, and when
I studied a topic on Null Hypothesis Significance Testing, I saw this question very interesting. I'm currently reading the book of Mc.Closkey "The cult of statistical significance" and I
discovered a new world for me.
It appears to be a very important question in psychometric or other experimental sciences. But not at the moment in econometrics (this is very criticized in the Mc Closkey book).
Usually my job is related with
multiple regression (mostly with temporary series) and I uses Gretl for this purposes.
Normally showing my results I
compute the b (understandardized) regression coefficient with his corresponding
t-value and his p-value. No more. Lastly, due that I usually works
with small samples sizes (normally 30 or 40 subjects/years) I indicates
in my regression output a bootstrap confident interval for b
(understandardized) or a bootstrap p-value. Gretl does this job greatly.
In the peer-review
process nobody say me nothing about effect sizes of coefficient estimations.
My
specific question is: somebody at the list knows what is the common measure of effect size in multiple
linear regressions?. In the topic of this statistical course it is highligted taht beta (standardized regression
coefficient, that GRETL does not provide by default, but there is a GRETL package to do it) or confidence intervals as measures of effect size, but
looking for internet I have no clear answer to my question. I found some
effect size measures for R2, but not for the regression coefficients.
Are in your opinion bootstrap intervals or p-values enough information for effects size estimation?
Somebody knows some interesting literature addressed to econometrics in this sense? GRETL Manual does not any reference to this "effect size" question.
Thanks in advance and really sorry for any inconvenience.
José Perles