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RE: st: discrepancy in -sdtest- ?

From   "VISINTAINER PAUL" <[email protected]>
To   <[email protected]>
Subject   RE: st: discrepancy in -sdtest- ?
Date   Fri, 26 Nov 2004 17:04:09 -0500

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] 
	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. 
	[email protected]
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