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RE: st: RE: joint significant


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: RE: joint significant
Date   Wed, 17 Jan 2007 16:07:22 -0000

Note that this is wrong. The P-value is emphatically not
the probability that the null hypothesis is true. 
The P-value is the probability of getting results as or 
more extreme than those observed _if_ the null hypothesis
is true and if the associated assumptions are correct. 

In any case, the picture here that there is a spike of probability
corresponding to a zero test statistic does not match basic 
facts about the sampling distribution, which in this kind of
problem is continuous. 

Nick 
[email protected] 

White, Justin
 
> 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.  
> 

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