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Abstract

When considering multiple-hypothesis tests simultaneously, standard statistical techniques will lead to overrejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this article, we discuss the Romano{Wolf multiple-hypothesis correction and document its implementation in Stata. The Romano{Wolf correction (asymptotically) controls the familywise error rate, that is, the probability of rejecting at least one true null hypothesis among 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 command, rwolf, that implements this correction and provide several examples based on a wide range of models. We document and discuss the performance gains from using rwolf over other multiple-testing procedures that control the familywise error rate.

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