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multiple testing

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  • Joseph P. Romano
  • Azeem M. Shaikh
  • Michael Wolf

Abstract

Multiple testing refers to any instance that involves the simultaneous testing of more than one hypothesis. If decisions about the individual hypotheses are based on the unadjusted marginal p-values, then there is typically a large probability that some of the true null hypotheses will be rejected. Unfortunately, such a course of action is still common. In this article, we describe the problem of multiple testing more formally and discuss methods which account for the multiplicity issue. In particular, recent developments based on resampling result in an improved ability to reject false hypotheses compared to classical methods such as Bonferroni.

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Bibliographic Info

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This chapter was published in: Steven N. Durlauf & Lawrence E. Blume (ed.) , , pages , 2010, 2nd quarter update.

This item is provided by Palgrave Macmillan in its series The New Palgrave Dictionary of Economics with number v:4:year:2010:doi:3826.

Handle: RePEc:pal:dofeco:v:4:year:2010:doi:3826

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Related research

Keywords: Multiple Testing; Familywise Error Rate; real estate finance; Resampling;

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Cited by:
  1. Tania Singer & Ernst Fehr, 2005. "The Neuroeconomics of Mind Reading and Empathy," American Economic Review, American Economic Association, vol. 95(2), pages 340-345, May.
  2. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Hypothesis testing in econometrics," IEW - Working Papers 444, Institute for Empirical Research in Economics - University of Zurich.
  3. David Afshartous & Michael Wolf, 2007. "Avoiding 'data snooping' in multilevel and mixed effects models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 170(4), pages 1035-1059.
  4. Joseph Romano & Azeem Shaikh & Michael Wolf, 2008. "Control of the false discovery rate under dependence using the bootstrap and subsampling," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 417-442, November.
  5. Falk, Armin & Fehr, Ernst & Zehnder, Christian, 2005. "The Behavioral Effects of Minimum Wages," IZA Discussion Papers 1625, Institute for the Study of Labor (IZA).
  6. Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
  7. Joseph P. Romano & Michael Wolf, 2008. "Balanced Control of Generalized Error Rates," IEW - Working Papers 379, Institute for Empirical Research in Economics - University of Zurich.

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