In constructing a 95% confidence interval, what value of α is used?

In the context of constructing a 95% confidence interval, the value of α represents the level of significance, which is the proportion of the total area under the normal distribution that is not captured by the confidence interval. Since a 95% confidence interval implies that we are confident that the parameter lies within that interval 95% of the time, the remaining percentage of the distribution, which is not included in the interval, is 5%. This is because 100% - 95% = 5%.

Since the significance level (α) is typically set as the total area outside the confidence interval, it is therefore equal to 0.05 for a 95% confidence interval. Thus, the correct answer is 0.05, as it directly corresponds to the area that does not fall within the 95% confidence interval. This means that 2.5% (or 0.025) lies in each tail of the normal distribution for the critical values used to form the interval.

In summary, when constructing a 95% confidence interval, a significance level of 0.05 is crucial to understanding the area outside this interval.