Thanks, Bobby for the quick response.
Paul Visintainer
-----Original Message-----
From: [email protected] on behalf of Roberto G. Gutierrez, StataCorp
Sent: Wed 11/24/2004 4:26 PM
To: [email protected]
Cc:
Subject: Re: st: discrepancy in -sdtest- ?
PAUL VISINTAINER <[email protected]> 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
[email protected]
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
<<winmail.dat>>
