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You start of with a null hypothesis according to which the variable has some specified distribution. Some of the parameters of this distribution may need to be estimated using the observed data. Against this hypothesis you will have an alternative hypothesis about the distribution of the variable.

You then assume that the null hypothesis is true and calculate the probability that the variable (or a test statistic based on that variable) has the observed numerical value or one that is more extreme. (In deciding what is more extreme you need to know the alternative hypothesis.) If that probability is less than 0.1 % then the result is significant at 0.1% - and so on.

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Q: What forms the basis of your decision to conclude that a numerical value of a variable you have calculated is significant or not significant at the 0.1 percent or 0.5 level in a regression analysis?
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