Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/215241 
Year of Publication: 
2019
Series/Report no.: 
IZA Discussion Papers No. 12845
Publisher: 
Institute of Labor Economics (IZA), Bonn
Abstract: 
When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and document its implementation in Stata. The Romano-Wolf correction (asymptotically) controls the familywise error rate (FWER), that is, the probability of rejecting at least one true null hypothesis in a family of hypotheses under test. This correction is considerably more powerful than earlier multiple testing procedures such as the Bonferroni and Holm corrections, given that it takes into account the dependence structure of the test statistics by resampling from the original data. We describe a Stata command rwolf that implements this correction, and provide a number of examples based on a wide range of models. We document and discuss the performance gains from using rwolf over other multiple correction procedures that control the FWER.
Subjects: 
bootstrap
familywise error rate
multiple hypothesis testing
permutation methods
rwolf
step-down procedure
JEL: 
C12
C15
C63
C87
Document Type: 
Working Paper

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