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RWOLF2: 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: 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).

Language: Stata
Requires: Stata version 11
Keywords: p-values; Romano-Wolf; multiple hypothesis testing (search for similar items in EconPapers)
Date: 2021-07-09
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.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/r/rwolf2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rwolf2.sthlp help file (text/plain)

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Handle: RePEc:boc:bocode:s458970