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Andrew Gelman — My favorite definition of statistical significance

Summary:
From my 2009 paper with Weakliem: Throughout, we use the term statistically significant in the conventional way, to mean that an estimate is at least two standard errors away from some “null hypothesis” or prespecified value that would indicate no effect present. An estimate is statistically insignificant if the observed value could reasonably be explained by simple chance variation, much in the way that a sequence of 20 coin tosses might happen to come up 8 heads and 12 tails; we would say that this result is not statistically significantly different from chance. More precisely, the observed proportion of heads is 40 percent but with a standard error of 11 percent—thus, the data are less than two standard errors away from the null hypothesis of 50 percent, and the outcome could clearly

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From my 2009 paper with Weakliem:
Throughout, we use the term statistically significant in the conventional way, to mean that an estimate is at least two standard errors away from some “null hypothesis” or prespecified value that would indicate no effect present. An estimate is statistically insignificant if the observed value could reasonably be explained by simple chance variation, much in the way that a sequence of 20 coin tosses might happen to come up 8 heads and 12 tails; we would say that this result is not statistically significantly different from chance. More precisely, the observed proportion of heads is 40 percent but with a standard error of 11 percent—thus, the data are less than two standard errors away from the null hypothesis of 50 percent, and the outcome could clearly have occurred by chance. Standard error is a measure of the variation in an estimate and gets smaller as a sample size gets larger, converging on zero as the sample increases in size.
Statistical Modeling, Causal Inference, and Social Science
My favorite definition of statistical significance
Andrew Gelman | Professor of Statistics and Political Science, and director of the Applied Statistics Center at Columbia University
Mike Norman
Mike Norman is an economist and veteran trader whose career has spanned over 30 years on Wall Street. He is a former member and trader on the CME, NYMEX, COMEX and NYFE and he managed money for one of the largest hedge funds and ran a prop trading desk for Credit Suisse.

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