The title of this post by Sanjay Srivastava illustrates an annoying misconception that’s crept into the (otherwise delightful) recent publicity related to my article with Hal Stern, he difference between “significant” and “not significant” is not itself statistically significant.
When people bring this up, they keep referring to the difference between p=0.05 and p=0.06, making the familiar (and correct) point about the arbitrariness of the conventional p-value threshold of 0.05. And, sure, I agree with this, but everybody knows that already.
The point Hal and I were making was that even apparently large differences in p-values are not statistically significant. For example, if you have one study with z=2.5 (almost significant at the 1% level!) and another with z=1 (not statistically significant at all, only 1 se from zero!), then their difference has a z of about 1 (again, not statistically significant at all). So it’s not just a comparison of 0.05 vs. 0.06, even a difference between clearly significant and clearly not significant can be clearly not statistically significant.
The .05 vs .06 thing is fine, but I fear that it obscures our other point, and it could mislead researchers who might think they are safe if they think they can draw firm conclusions from apparently large p-value differences (for example, .10 vs. .01).