Journal of Economic Literature
Vol. XXXIV (March 1996), pp. 97-114

The Standard Error of Regressions
By D E I R D R E N . M C C L O S K E Y

and
STEPHEN T. ZILIAK
University of Iowa
Suggestions by two anonymous and patient referees greatly improved the paper. Our thanks also to seminars at Clark, Iowa State, Harvard, Houston, Indiana, and Kansas State universities, at Williatns College, and at the universities of Virginia and Iowa. A colleague at Iowa,
Calvin Siehert, was materially helpful.

T

cant for science or policy and yet be insignificant statistically, ignored by the less thoughtful researchers.
In the 1930s Jerzy Neyman and Egon
S. Pearson, and then more explicitly
Abraham Wald, argued that actual investigations should depend on substantive not merely statistical significance. In
1933 Neyman and Pearson wrote of type
I and type II errors:

HE IDEA OF Statistical significance is

old, as old as Cicero writing on forecasts (Cicero, De Divinatione, 1. xiii. 23).
In 1773 Laplace used it to test whether comets came from outside the solar system (Elizabeth Scott 1953, p. 20). The first use of the very word "significance" in a statistical context seems to be John
Venn's, in 1888, speaking of differences expressed in units of probable error;

Is it more serious to convict an innocent man or to acquit a guilty? That will depend on the consequences of the error; is the punishment death or fine; what is the danger to the community of released criminals; what are the current ethical views on punishment? From the point of view of mathematical theory all that we can do is to show how the risk of errors may be controlled and minimised. The use of these statistical tools in any given case, in determining just how the balance should be struck, must be left to the investigator.
(Neyman and Pearson 1933, p. 296; italics
supplied)