How to determine whether the estimated coefficients are significant or not?

Hi all,

After I estimated a DSGE by MLE method, I want to know whether the estimated coefficient is significant or not. Just like a regression analysis, the coefficient is significant if its p-value is less than 0.05. However, only t-stat is shown in the estimation result. Is it possible to convert the t-stat to p-value?

I understand that once I know the corresponding t distribution of the t-stat, I can compute the p-value. But how can I know the degree of freedom of the t-distribution? Is it simply the number of observation minus the number of estimated parameters?


Yes. Given that N is usually much larger than the number of estimated parameters, you can work with a normal distribution.

1 Like