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p value in mcmc model

Posted: Wed Nov 21, 2018 6:03 pm
by rodrigowu

I fit multilevel nominal models using mcmc by running runmlwin in Stata. In their results tables, I found a pattern that the p values of coefficients tend to be smaller than expected. For example, there is one coefficient like this:
Mean S.D. EES P 95% cred. Interval
-.2965969 .1812569 548 0.049 -.6563954 .0521605

Based on the Mean and sd, the p value should not have been below 0.05. The CI (-.6563954, .0521605) also suggests that zero can not be ruled out.
Why the p value is 0.049?

Does anyone know this? Thank you very much!

Best wishes,


Re: p value in mcmc model

Posted: Thu Nov 22, 2018 11:01 am
by GeorgeLeckie
Dear Rodrigo,

The default presented p-value is a Bayesian one-sided p-value (the proportion of the MCMC chain which is the opposite sign to the point estimate).

You report a p-value of 0.049 so a conventional two-sided p-value would be more like 0.100

You can actually request the 'properly calculated' classical frequentist two-sided p-value to be displayed in the runmlwin output when fitting models by MCMC by specifying the zratio option.

Best wishes


Re: p value in mcmc model

Posted: Thu Nov 22, 2018 1:19 pm
by rodrigowu
Thank you, George. Your reply is very helpful!
best wishes,