OptSig v1.0

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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
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Details

Type Package
Date 2017-12-18
License GPL-2
NeedsCompilation no
Packaged 2017-12-20 19:54:59 UTC; JKim
Repository CRAN
Date/Publication 2017-12-21 10:26:39 UTC
imports pwr
Contributors Jae H Kim

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