If I have a large sample size, e.g. 100,000 data points, I know that most significance tests are going to come back with a very small p-value unless the null hypothesis is "true on the nose." In other words, even very small effects will be seen by the test. I can understand why this is true for a t-test, since when I compute the test statistic I have to divide by $\sqrt
$\begingroup$ This question, generalized and posed slightly differently, appears at stats.stackexchange.com/questions/2516. The common spirit is to ask why having more data gives one more power to reject a false null hypothesis. So, rather than focusing on the F-test itself, you might consider discussing this general issue: your students might learn much more for the same effort. $\endgroup$
Commented Mar 31, 2016 at 18:16$\begingroup$ @whuber. I read that thread just before posting, but could not distill from it an explanation that would satisfy my students. Still, it inspired me to prepare a class on effect size that I'm delivering tomorrow. By the way, I'm a big fan of your answers here. Thanks for posting! $\endgroup$
Commented Mar 31, 2016 at 22:59$\begingroup$ the explanation I tried was that, when n is huge MSE is going to be very small Sure, you're dividing by a huge $n$, but you're also getting a huge SSE. $\endgroup$
Commented Jan 16 at 20:05$\begingroup$ Yep, that was literally the next sentence in the question "The students followed up by asking. " Also, the third (last) comment I left below Michael's answer. $\endgroup$