Let be the estimate for element j of the parameter vector β. 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.

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 βj = 0 is true.

The critical value of a parameter T statistic for a given level of significance α 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 βj = 0 at the significance level α.