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I often hear people use the abbreviation 'i.e.' while speaking. It does not seem right to me. Similarly with 'e.g.' — I would always say 'for example' rather than 'e.g.'.

So is it appropriate to use 'i.e.' (or more generally, abbreviations) in speech?

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It depends on the nature of the speech. In an informal conversation with family and friends you can say what you like. Anyone addressing an audience will speak differently. In such a context the use of abbreviations would sound careless, and possibly even vulgar, to me, but then I've no great enthusiasm for the serious use of abbreviations anyway, particularly Latin ones.

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More often than not, i.e. is used pretentiously and ironically incorrectly, but it doesn't mean "for example" nor is it a synonym for exampli grati (e.g.). It means "id est" or "that is" http://dictionary.reference.com/help/faq/language/d67.html which to remember I like to think of it as "in other words".

So it's okay to use i.e. or e.g. in speech, just again don't be "that guy" who tries to sound smart but sounds like an idiot using them incorrectly.

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Since it takes no longer to say "that is" than it does to say "i.e", it makes no sense to use this written abbreviation for id est.

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