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st: Scheffe, Bonferroni and Sidak tests

From   Richard Williams <>
Subject   st: Scheffe, Bonferroni and Sidak tests
Date   Sun, 28 Dec 2003 11:58:26 -0500

The -oneway- program gives you the option of doing Scheffe, Bonferroni and Sidak tests. Some other commands offer similar options, e.g. -test-. Is there any consensus as to which is best? Are there any situations in which one is clearly preferable to another? My experience has been that results tend to be similar, and the examples from the Stata reference guide also show little difference.

Also, as a practical matter, how often do these tests get done in practice? I see them rarely in the stuff I read and no reviewer has ever asked me to provide this info. I understand the rationale for these tests, but if you take that rationale to its logical conclusion it seems like every coefficient in every model should have its p-value adjusted to reflect the fact that multiple tests are going on. The tests also seem like they can be excessively conservative -- all differences between pairs of groups could be significant at the .05 level, but after making one of these adjustments none of the differences could be significant.

Richard Williams, Associate Professor
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