Many of you have likely come across one of the following sentences while perusing empirical work (doesn't matter what discipline or field):
"...the effect was statistically significant (p = 0.0401)..."
"...as per convention, we define statistical significance as a p-value of 0.05..."
"...income was significant at standard levels of confidence (p = 0.049)..."
0.05, or 5%, is the magic p-value (loosely, the probability that the given estimate or test statistic is due to random chance) that denotes the threshold separating statistical significance from insignificance. You don't need to be a Bayesian to realize that this designation is completely arbitrary: why not 0.04 (4%) or 0.06 (6%)?
I spent some time today (read: procrastinating) trying to find the story behind the origin of this convention. The most I could find was that R.A. Fischer, the founding father of statistics, decreed this as an "acceptable value" and everyone started to copy it.
I'm not satisfied: I'm guessing there is a fascinating story here. Why did Fischer choose 0.05 in the first place? How did the convention spread? Was it ever challenged? How do conventions develop in general?
This brings us to this summer's contest: whoever finds the best story (link/paper/book) behind the 5% convention will receive a copy of a recent popular press economics book of their choice. The prize is a small price for me to pay to have someone else do the work and bring the story to me - everyone wins.
1 comment:
"The Lady Tasting Tea," a history of statistics does discuss that some...can't find my copy, but I thought it was essentially just the number he decided upon, and that everyone else ran with...
Shall have to keep looking some.
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