I ran a specification with an outcome in $ terms, and a coefficient on a dummy variable was statistically significant. However, when I ran the exact same model with the outcome in log-dollar terms, the coefficient is not significant. Is this possible, or must there be a mistake?
$\begingroup$
$\endgroup$
-
1$\begingroup$ This is a frequently asked question. You basically need to understand what a log model vs a non-log model is, so you should focus on the thread above. Following that, here are some more threads to read: What if a log transformation wipes out significance in regression?; & Log transformed variable not significant, while variable itself is. $\endgroup$ – gung - Reinstate Monica Apr 17 '14 at 22:12
$\begingroup$
$\endgroup$
That is perfectly possible. In my experience, this is often because of outliers, who tend to be less important when a log-transform is applied. Having said that, please observe that if you use logs, you are basically estimating a different quantity, so it can very well be that significance is lost even though there are no outliers whatsoever.
answered Apr 17 '14 at 21:48
