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RWOLF2: Stata module to calculate Romano-Wolf stepdown p-values for multiple hypothesis testing

Author

Listed:
  • Damian Clarke

    (Universidad de Santiago de Chile)

Programming Language

Stata

Abstract

rwolf2 calculates Romano and Wolf's (2005a,b) step-down adjusted p-values robust to multiple hypothesis testing. It provides a more general syntax than that provided in the rwolf command, although the underlying algorithm is the same. This program follows the resampling algorithm described in Romano and Wolf (2016), and provides a p-value corresponding to the significance of a hypothesis test where S tests have been implemented, providing strong control of the family-wise error rate (the probability of committing any Type I error among all of the S hypotheses tested).

Suggested Citation

  • Damian Clarke, 2021. "RWOLF2: Stata module to calculate Romano-Wolf stepdown p-values for multiple hypothesis testing," Statistical Software Components S458970, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458970
    Note: This module should be installed from within Stata by typing "ssc install rwolf2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/rwolf2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/rwolf2.sthlp
    File Function: help file
    Download Restriction: no
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