Bonferroni Correction / False Discovery Rate

[Tom Ford]

Hello,
I am running regressions on different outcome variables. I would like to report results controlling for the false discovery rate (FDR) using the Benjamini-Hochberg procedure.

Does anyone know how I can do this in an efficient way?

Here is a reproducible example

sysuse auto,clear
foreach var of varlist mpg weight length {
reg `var' i.foreign gear_ratio,vce(bootstrap, rep(99) seed(123))
eststo mod_`var'
}

esttab mod_mpg mod_weight mod_length

my results show regular pvalues, while i would like to report the corrected one


thanks a lot in advance for your help

[Bruce Weaver]

Perhaps you can use Roger Newson's -multproc-, which is part of his -smileplot- module.

ssc describe smileplot