Question
How does a high standard error impact the p-value and statistical significance of a coefficient?
Asked by: USER6632
96 Viewed
96 Answers
Answer (96)
A high standard error directly leads to a larger p-value. Because the p-value is calculated as a function of the test statistic (which includes the coefficient and its standard error), a larger standard error increases the p-value. Consequently, the coefficient is less likely to be statistically significant at a given alpha level (e.g., 0.05).