Implement the Westfall-Young Multiple Testing Correction

py-econometrics / pyfixest

Fast High-Dimensional Fixed Effects Regression in Python following fixest-syntax

MIT License

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Open s3alfisc opened 3 weeks ago

s3alfisc commented 3 weeks ago

The main competitor to the Romano-Wolf multiple testing correction appears to be the method by Wesfall & Young.

Implement the stepwise procedure by WF as described in the appendix of the rwolf paper.
Add a wyoung() function that mimics rwolf().
Implement unit tests against Stata's wyoung package (if possible, it will likely be vary slow if run with many iterations).