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MHTOPT: Stata module for Optimal Multiple Hypothesis Testing

Author

Listed:
  • Davide Viviano

    (Harvard University)

  • Kaspar Wuthrich

    (Department of Economics, University of Michigan)

  • Paul Niehaus

    (UC San Diego)

  • Erick Rosas Lopez

    (UC San Diego)

Programming Language

Abstract

mhtopt implements the optimal multiple-hypothesis-testing (MHT) correction of Viviano, Wuthrich and Niehaus (2026), which derives the per-test significance level alpha* from the economic incentives of research production rather than treating MHT adjustment as ad hoc. Given a cost function for adding hypotheses and observations to a study, the package returns the alpha* that maximizes the welfare of an evidence-driven decision maker. Two cost models are supported: a linear/FDA calibration (default, using fixed-cost share parameters from Sertkaya et al. 2016) and a Cobb-Douglas calibration (J-PAL parameters from Appendix A of the paper). The package provides five commands: mht_critical computes alpha* for given J and n; mht_test applies the correction to a vector of p-values and compares against Bonferroni, Holm, Benjamini-Hochberg, and unadjusted decisions; mht_est is a postestimation wrapper that reads e(b) and e(V) from any Stata regression; mht_cost_estimate recovers cost parameters from project-level data; mht_table reproduces Table 1 of the paper. Reference: arXiv:2104.13367.

Suggested Citation

  • Davide Viviano & Kaspar Wuthrich & Paul Niehaus & Erick Rosas Lopez, 2026. "MHTOPT: Stata module for Optimal Multiple Hypothesis Testing," Statistical Software Components S459757, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459757
    Note: This module should be installed from within Stata by typing "ssc install mhtopt". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_cost_estimate.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_critical.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_est.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_table.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_test.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_cost_estimate.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_critical.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_est.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_table.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_test.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mht_example.do
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