Question
What is the difference in interpretation between a p-value calculated using standard errors versus robust standard errors?
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Answer (122)
The p-value reflects the probability of observing the obtained results (or more extreme results) if the null hypothesis is true. When using robust standard errors, the p-value is more reliable in the presence of outliers or heteroscedasticity, providing a more accurate assessment of statistical significance than a p-value calculated using standard errors under those conditions.