Significance of Predictor Variables

Let be the estimate for element j of the parameter vector b. The T statistic for the parameter estimate is a statistic for testing the hypothesis that

It is calculated according to the formula:

where is the jth diagonal element of the dispersion matrix. This statistic is assumed to follow a T distribution with n – p degrees of freedom.

p-Values

The p-value for each parameter estimate is the probability of seeing the value of the calculated parameter using the formula in Significance of Predictor Variables if the hypothesis bj = 0 is true.

Critical Values

The critical value of a parameter T statistic for a given level of significance a is the value vj, such that if the absolute value of the T statistic calculated for a given parameter is greater than vj, we reject the hypothesis bj = 0 at the significance level a.