--- Stephan Brunow <Stephan.Brunow@mailbox.tu-dresden.de> wrote:
> I run a regression and afterwards I did a test for
heteroskedasticity.
<snip>
> I am (very often) confused, what the probability (here 0.0000) means.
> Does it mean that the Ho can not be rejected on a 5 percent level?
Stephan:
There are two (more or less) equivalent ways of thinking about
p-values:
- It is a 'degree of surprise'. If you believed that the null
hypothesis is true than the probability of finding the data you have
found is <.00005. That data is so surprising that you start to
reconsider your null hypothesis.
- You have chosen a significance level, which is the minimum
probability of accidentally rejecting a true null hypothesis that you
find acceptable. You are basing your inference on a radom sample, so
'accidents' can (and will) happen. For instance you may find 5%
probability of accidentally rejecting a true null hypothesis
acceptable. Once you have choses the significance level you compute the
p-level and if the p-level is less than the siginificance level you
reject the null hypothesis. If you do so consistently throughout your
scientific career than 95% of your conclussion will be correct
(assuming that the only source of mistakes are normal fluctuations that
occur with random sampling)
HTH,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z214
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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