The choice of
significance level at which you reject H0 is arbitrary. Conventionally the 5% (less than 1 in 20 chance of being wrong), 1% and 0.1% (
P < 0.05, 0.01 and
0.001) levels have been used. These numbers can give a false sense of security. ... The
significance level (alpha) is the probability of type I error.
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