One sample $z$ test: sampling distribution of the $z$ statistic

Definition of the sampling distribution of the $z$ statistic

Sampling distribution of $ z$:

As you may know, when we perform a one sample $ z$ test, we compute the $ z$ statistic $$ z = \dfrac{\bar{y} - \mu_0}{\sigma / \sqrt{N}} $$ based on our sample data. Now suppose that we would draw many more samples. Specifically, suppose that we would draw an infinite number of samples, each of size $ N$. In each sample, we could compute the $ z$ statistic $ z = \frac{\bar{y} - \mu_0}{\sigma / \sqrt{N}}$. Different samples will give different $ z$ values. The distribution of all these $ z$ values is the sampling distribution of $ z$. Note that this sampling distribution is purely hypothetical. We will never really draw an infinite number of samples, but hypothetically, we could.

Sampling distribution of $ z$ if H0 were true:

Suppose that the assumptions of the one sample $ z$ test hold, and that the null hypothesis that $\mu = \mu_0$ is true. Then the sampling distribution of $ z$ is normal with mean 0 and standard deviation 1 (standard normal). That is, most of the time we would find $ z$ values close to 0, and only sometimes we would find $ z$ values further away from 0. If we find a $ z$ value in our actual sample that is far away from 0, this is a rare event if the null hypothesis were true, and is therefore considered evidence against the null hypothesis ($ z$ value in rejection region, small $ p$ value).

Standard normal distribution