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RE: st: discrepancy in -sdtest- ?
Thanks, Bobby for the quick response.
From: email@example.com on behalf of Roberto G. Gutierrez, StataCorp
Sent: Wed 11/24/2004 4:26 PM
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.
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