IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v23y2023i2p518-544.html
   My bibliography  Save this article

Simultaneous tests and confidence bands for Stata estimation commands

Author

Listed:
  • David M. Drukker

    (Sam Houston State University)

Abstract

Stata estimation commands that implement frequentist methods produce an output table that contains multiple tests and multiple confidence intervals. Presumably, the multiple tests and multiple confidence are designed to help determine which parameters are responsible for a possible rejection of the overall null hypothesis of no effect. When taken by itself, each test and each confidence interval provides valid inference about the null hypothesis of no effect for each parameter at the specified error rate. However, simultaneously using two or more of these tests or confidence intervals provides inference at an error rate that exceeds the one specified. In this article, I discuss the sotable command, which provides p-values that are adjusted for the multiple tests and a confidence band that can be used to simultaneously test multiple parameters for no effect after almost all frequentist estimation commands. I also provide an introduction to the literature on simultaneous inference.

Suggested Citation

  • David M. Drukker, 2023. "Simultaneous tests and confidence bands for Stata estimation commands," Stata Journal, StataCorp LP, vol. 23(2), pages 518-544, June.
    • Handle: RePEc:tsj:stataj:v:23:y:2023:i:2:p:518-544
    DOI: 10.1177/1536867X231175333
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj23-2/st0718/
    as

    Download full text from publisher

    File URL: http://www.stata-journal.com/article.html?article=st0718
    File Function: link to article purchase
    Download Restriction: no
    File URL: https://libkey.io/10.1177/1536867X231175333?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:23:y:2023:i:2:p:518-544. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum or Lisa Gilmore (email available below). General contact details of provider: http://www.stata-journal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.