# OptSig v1.0

0

0th

Percentile

## Optimal Level of Significance for Regression and Other Statistical Tests

Calculates the optimal level of significance based on a decision-theoretic approach. The optimal level is chosen so that the expected loss from hypothesis testing is minimized. A range of statistical tests are covered, including the test for the population mean, population proportion, and a linear restriction in a multiple regression model. The details are covered in Kim, Jae H. and Choi, In, Choosing the Level of Significance: A Decision-Theoretic Approach (December 18, 2017), available at SSRN: <https://ssrn.com/abstract=2652773> or <doi:10.2139/ssrn.2652773>. See also Kim and Ji (2015) <doi:10.1016/j.jempfin.2015.08.006>.

## Functions in OptSig

 Name Description Opt.sig.chisq.test Optimal significance level calculation for chi-squared tests Opt.sig.norm.test Optimal significance level calculation for the mean of a normal distribution (known variance) Opt.Sig.Chisq Optimal Significance Level for a Chi-square test Opt.Sig Optimal Significance Level for an F-test Opt.SigWeight Weighted Optimal Significance Level for the F-test based on the assumption of normality in the error term Opt.sig.2p.test Optimal significance level calculation for the test for two proportions (same sample sizes) Opt.sig.2p2n.test Optimal significance level calculation for the test for two proportions (different sample sizes) Opt.sig.anova.test Optimal significance level calculation for balanced one-way analysis of variance tests Opt.SigBoot Optimal Significance Level for the F-test using the bootstrap Opt.SigBootWeight Weighted Optimal Significance Level for the F-test based on the bootstrap data1 Data for the U.S. production function estimation Opt.sig.t.test Optimal significance level calculation for t-tests of means (one sample, two samples and paired samples) Opt.sig.t2n.test Optimal significance level calculation for two samples (different sizes) t-tests of means Opt.sig.p.test Optimal significance level calculation for proportion tests (one sample) Opt.sig.r.test Optimal significance level calculation for correlation test OptSig-package OptSig Power.Chisq Function to calculate the power of a Chi-square test Power.F Function to calculate the power of an F-test R.OLS Restricted OLS estimation and F-test No Results!