On Aug 3, 2008, at 13:54, Alexander Klimov wrote:

If your p-value is smaller than the significance level (say, 1%)
you should repeat the test with different data and see if the
test persistently fails or it was just a fluke.

Or better still, make many tests and see if your p-values are uniformly distributed in (0,1). [Hint: decide on a p-value for that last equidistribution test *before* you compute that p-value.]

Best,

Stephan

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