The 91% confidence level comes from the p-value given in the Wald test.
Here is how to interpret a p-value. Let's say you have a p-value of
0.0890 from an F-test. This tells us that given the data sample, we can
expect the estimated coefficients to be jointly equal to zero in 8.9
times out of 100. This is known as Type-1 error. If you are using a
confidence criterion of 95%, you are only willing to make a Type-1 error
in 5 out of 100 times. Therefore, a confidence level of 91.1% falls
outside of your confidence criteria and you would fail to reject the
null. This means the estimated coefficients are jointly insignificantly
different from zero.
If you are using a 95% confidence level, then you want a p-value that is
less than or equal to 0.05. The smaller the p-value, the less likely
you are to make a Type-1 error. You get the confidence level by
subtracting the p-value from one (1-0.0890 = 0.0911 = 91.1%)
This would be the statement(s) you would make.....
Based on a confidence level of 95%, I would fail to reject the null
hypothesis that the estimated coefficients are jointly equal to zero.
Or
Based on a confidence level of 90%, I would reject the null hypothesis
that the estimated coefficients are jointly equal to zero.
Or
I reject the null hypothesis that the estimated coefficients are jointly
equal to zero at a confidence level of 91.1%.
Hope this helps.
Justin White
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Joanne
Marshall
Sent: Tuesday, January 16, 2007 12:31 PM
To: [email protected]
Subject: RE: st: RE: joint significant
Thank you, Justin.
"Assuming you have a 95% confidence level criterion, you will fail to
reject the null hypothesis that the estimated coefficients are jointly
equal to zero with a confidence level of 91%."
How can you tell we reject the null though hypothesis and where is the
91%
from?
> F( 1, 538) = 2.1
> Prob > F = 0.0890
the p value is 0.0890, which is bigger than 0.05 therefore we reject the
null.
i am using 0.05 as the p value because it is 95% confidnece level
criterion.
is this correct?
thank you.
Cheers Jo
>From: "White, Justin" <[email protected]>
>Reply-To: [email protected]
>To: <[email protected]>
>Subject: st: RE: joint significant
>Date: Tue, 16 Jan 2007 12:23:19 -0500
>
>The Wald Test is a joint significance test. It depends on how you set
>up the test if you want to determine if a specific coefficient has the
>appropriate sign. The results you included tell us:
>
>Assuming you have a 95% confidence level criterion, you will fail to
>reject the null hypothesis that the estimated coefficients are jointly
>equal to zero with a confidence level of 91%.
>
>There is no need to use an F-table. The p-value given in the test
tells
>you the level of confidence. As one of my professors told me
>"statistical tables are for luddites".
>
>
>Hope this helps.
>
>
>Justin White
>
>-----Original Message-----
>From: [email protected]
>[mailto:[email protected]] On Behalf Of Joanne
>Marshall
>Sent: Tuesday, January 16, 2007 12:15 PM
>To: [email protected]
>Subject: st: joint significant
>
>Dear Stata fellow,
>
>If the result which I have worked out is for a joint sign test (Wald
>test)
>
> F( 1, 538) = 2.1
> Prob > F = 0.0890
>
>how can I tell if this is jointly significant or not? do I look at
>0.0790 or
>3.10 as F observ to compare with my F crit. Also from the stat. table,
>do I
>look for F crit under (1,538) at my desirable level on significance or
>others?
>
>Cheers
>Jo
>
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