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Wednesday, September 14, 2011

P-Values of Differences of P-Values of Differences of....

An interesting post on Andrew Gelman's blog last week reminded us that we have to be careful to distinguish between the statistical significance of the difference between two "effects", and the difference between the significances of two separate effects. They're not the same thing, and it's the first of these that's usually relevant.

Let's re-phrase this, and put it in baby econometrics terms.