The P-Value is the probability of
rejecting the null hypothesis incorrectly.
One minus the P-Value is the confidence level associated with the
rejection of the null hypothesis that the estimated parameter value is equal to
zero. For example, if the P-Value is
0.0500 then the confidence level is 0.95 (95% level). We can say that the probability of rejecting the null hypothesis
incorrectly is 5 percent or less. That
is, there is a 95% confidence level that the independent variable does
influence the dependent variable at the level of the computed regression
parameter.