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

Damian Clarke

Statistical Software Components from Boston College Department of Economics

Abstract: rwolf calculates Romano and Wolf's (Econometrica 2005; JASA 2005) stepdown adjusted p-values to correct for multiple hypothesis testing. This program follows the algorithm described in Romano and Wolf (Statistics and Probability Letters 2016), and provides a p-value corresponding to each of a series of J independent variables when testing multiple hypotheses against a single dependent (or treatment) variable. The rwolf algorithm constructs a null distribution for each of the J hypothesis tests based on Studentized bootstrap replications of a subset of the tested variables. Full details of the procedure are described in Romano and Wolf (2016).

Language: Stata
Requires: Stata version 11
Keywords: hypothesis tests; multiple testing; Romano; Wolf (search for similar items in EconPapers)
Date: 2016-12-04, Revised 2020-07-08
Note: This module should be installed from within Stata by typing "ssc install rwolf". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (9)

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