RE: st: discrepancy in -sdtest- ?

["VISINTAINER PAUL" <PAUL_VISINTAINER@nymc.edu>]

Thanks, Bobby for the quick response.
 
Paul Visintainer

	-----Original Message----- 
	From: owner-statalist@hsphsun2.harvard.edu on behalf of Roberto G. Gutierrez, StataCorp 
	Sent: Wed 11/24/2004 4:26 PM 
	To: statalist@hsphsun2.harvard.edu 
	Cc: 
	Subject: Re: st: discrepancy in -sdtest- ?
	
	

	PAUL VISINTAINER <PAUL_VISINTAINER@nymc.edu> asks:
	
	> One of my faculty brought this discrepancy to my attention.  Why is the
	> 2-sided test of significance (.8004) not equal to twice the one-sided test?
	> (e.g., .3749 * 2 = .7498).  She tells me that SAS gives a two-sided p-value
	> of .7498.
	
	Stata's calculation for the signficance level for the two--tailed test is
	(for F_obs > 1, say)
	
	        sig. level = Pr(F < 1/F_obs) + Pr(F > F_obs)                   (1)
	
	Contrast this with the equal-tailed calculation
	
	        sig. level = 2*Pr(F > F_obs)                                   (2)
	
	Although tests based on (1) and (2) both have correct Type I error, our
	simulations show that (2) generally has better power.
	
	As a result, we will change -sdtest- to calculate (2) instead of (1).
	
	The change will be available in the next ado update. 
	
	--Bobby
	rgutierrez@stata.com
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