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Tests, and the second number

A p-value alone cannot be read: the same 0.04 means different things at different sample sizes, and nothing at all without knowing how many analyses were available. Every figure here carries the number that makes it interpretable.
05001e+30.2000.4000.6000.800p-valuecountflatKS distance 0.0165a p-value that is not uniform is not a p-value

A p-value that is not flat is not a p-value

Under a true null, p-values are uniform. That is stronger than saying the test rejects 5% of the time, it constrains the whole distribution rather than one point of it, and it catches implementation errors that a rejection rate sails past.

00.2500.5000.750100.5001true effect, in standard deviationsprobability of rejecting80%, the usual target56% at d = 0.54,000 simulated studies per pointthe second number a p-value needs

What a p-value does not say

The same p of 0.04 corresponds to a large effect in ten observations and a negligible one in two thousand. A p-value alone cannot be interpreted, and the number that makes it interpretable is almost never printed beside it.

02505007501e+3-0.50000.5001effect the study reportsstudiesthe truth, 0.3what gets published, 0.61shaded: reached p below 0.05power 20%, inflation 2.04×

The winner's curse

Filter honest studies down to the ones that reached significance and the effects they report are systematically too large. At low power the inflation is a factor of two, nobody has done anything wrong, and the selection did all of it.

00.2000.4000.6000.8005101520analyses available to the researcherchance of finding something significantthe nominal 5%if the analyses were independentcorrelated, as real ones areno effect present anywhereevery individual analysis is correct

Twenty analyses of nothing

Twenty honest, correct analyses of data with no effect in it find something significant 58% of the time. Nobody p-hacked, every individual p-value is right, and the reported one is the smallest of twenty.

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