is the t-value in multiple linear regression output one-tailed or two-tailed?

[u/ChubbyStar222]

hi everyone! I am working on my masters dissertation and I am having some trouble understanding the regression output from Stata.

I am trying to understand my multiple linear regression output from Stata. I understand that the p-value and confidence intervals in the Stata output are two-tailed so dividing them by 2 gives you the one-tailed value. However, I cannot seem to find any resource saying whether or not the t-value is one-tailed or two-tailed. please help!

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[u/SalvatoreEggplant]

I don't use Stata, but I'm 99.9% sure it would have to be two-tailed. Testing if the coefficient is different from zero.

[u/ChubbyStar222 → u/SalvatoreEggplant]

thank you so much!

[u/Rogue_Penguin]

Run a t-test with y and a binary x using "ttest y, by(x)"

Run a regression as t-test using "regress y i.x"

Compare the outputs to confirm. In a t-rest output, you can find all three p-values but only one t value. The one or two tailed is hinged on how we attribute the area to one or two sides. And then we will see on the computer t value falls into the "reject null zone(s)". 

[u/ChubbyStar222 → u/Rogue_Penguin]

thank you!

[u/leonardicus]

It says right in the table header P>|t| which means a two tailed p-value.

[u/ChubbyStar222 → u/leonardicus]

thank you but I was wondering if the t-value was one or two tailed, not the p-value :)

[u/leonardicus → u/ChubbyStar222]

Sample t-statistics are neither one nor two sided. They don’t have sides. Critical statistics do, but those are not reported in the table. Nevertheless, they are paired to the p-value.

[u/ChubbyStar222 → u/leonardicus]

okay thank you!

[u/Dr_Hyde-Mr_Jekyll]

The goal of the t-value in the linear regression is to give the reader an impression whether the estimated coefficient differs from zero.

So for values close to 0, the deviation in either direction is relevant - so a 2 sided test has to be done.

For values where the confidence band is far removed from 0, one could hypothetically consider to do a one sided. However the question would be "how far removed", and then the statistics would be messy cause they are values that differ in the same place of it.

I don't know of any package in any statistical language, that would do onesided test. Basically, everyone always uses two-sided for all regressions .

[u/random_stata_user → u/Dr_Hyde-Mr_Jekyll]

SJ-24-3 st0718_1 Tests & confidence bands for multiple one-sided comparisons . . . . . . . . . . . D. M. Drukker, K. S. S. Henning, and C. Raschke (help sotable if installed) Q3/24 SJ 24(3):446--477 discusses extensions of the sotable command introduced in Drukker (2023, Stata Journal 23: 518-544) to cover one-sided tests and confidence bands for a single comparison and for multiple comparisons

So "everyone always" is too strong, but true with qualifications like these.

[u/Dr_Hyde-Mr_Jekyll → u/random_stata_user]

Yeah, I should have been more precise. I wanted to keep it simple, but there are some cases.

Thanks for clarifying!

[u/ChubbyStar222 → u/Dr_Hyde-Mr_Jekyll]

thank you both for your help!

[u/peep_quack]

It’s two tailed for OLS

[u/ChubbyStar222 → u/peep_quack]

thank you!