Simultaneous tests and confidence bands for Stata estimation commands

Abstract

Stata estimation commands that implement frequentist methods produce an output table that contains multiple tests and multiple confidence intervals. Presumably, the multiple tests and multiple confidence are designed to help determine which parameters are responsible for a possible rejection of the overall null hypothesis of no effect. When taken by itself, each test and each confidence interval provides valid inference about the null hypothesis of no effect for each parameter at the specified error rate. However, simultaneously using two or more of these tests or confidence intervals provides inference at an error rate that exceeds the one specified. In this article, I discuss the sotable command, which provides p-values that are adjusted for the multiple tests and a confidence band that can be used to simultaneously test multiple parameters for no effect after almost all frequentist estimation commands. I also provide an introduction to the literature on simultaneous inference.