Tuesday, February 26, 2008

Top 10 Commandments of Statistical Inference: #8

In our last few posts, we talked about two of the top 10 commandments of statistical inference. We learned that: Though shalt not infer causal relationships from statistical inference and though shalt not apply large sample approximation in vain. Today, for the number 8 commandment:

Though shalt not worship the 0.05 significance level!

This is one I run into all the time. It goes with my earlier post on “Statistical Inference Is Not A License.’ For some reason, a common mistake is to focus solely on a 0.05 significance level and I think it is because of a couple of reasons. First, it is what is taught in schools for the most part. I remember back to my first few stats classes and it seems like it was best case to just teach “Above or Below 0.05.” It’s also the misunderstanding and overreaching that we tend to do when we have statistical significance. Finally, of course, there can be statistical reasons, but when I ask people why the 0.05 level is so important to them, few understand it this deeply.

The main thing to remember is what it really means. It means that you are 95% confident depending upon your models assumptions and are willing to take that 5% risk that there is no difference (Type I Error). So, the real question is, how important is this to you? If you are in a lab, then a 0.01 significance might be what you shoot for. In a sociological study, perhaps maybe a 0.10-0.15 level will satisfy you. Whatever the case, it will depend on how strict you wish to be or not be and what situation you are in.

No comments: