FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
It is common in econometric applications that several hypothesis tests are carried out simultaneously. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. The classical approach is to control the familywise error rate (FWE), which is the probability of one or more …