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/* SharpenPValues.do */
* This code calculates sharpened FDR-adjusted p-values.
* The code was taken from Michael Anderson's website: https://are.berkeley.edu/~mlanderson/ARE_Website/Research.html
quietly sum pval
local totalpvals = r(N)
* Sort the p-values in ascending order and generate a variable that codes each p-value's rank
quietly gen int original_sorting_order = _n
quietly sort pval
quietly gen int rank = _n if pval!=.
* Set the initial counter to 1
local qval = 1
* Generate the variable that will contain the BKY (2006) sharpened q-values
gen bky06_qval = 1 if pval!=.
* Set up a loop that begins by checking which hypotheses are rejected at q = 1.000, then checks which hypotheses are rejected at q = 0.999, then checks which hypotheses are rejected at q = 0.998, etc. The loop ends by checking which hypotheses are rejected at q = 0.001.
while `qval' > 0 {
* First Stage
* Generate the adjusted first stage q level we are testing: q' = q/1+q
local qval_adj = `qval'/(1+`qval')
* Generate value q'*r/M
gen fdr_temp1 = `qval_adj'*rank/`totalpvals'
* Generate binary variable checking condition p(r) <= q'*r/M
gen reject_temp1 = (fdr_temp1>=pval) if pval~=.
* Generate variable containing p-value ranks for all p-values that meet above condition
gen reject_rank1 = reject_temp1*rank
* Record the rank of the largest p-value that meets above condition
egen total_rejected1 = max(reject_rank1)
* Second Stage
* Generate the second stage q level that accounts for hypotheses rejected in first stage: q_2st = q'*(M/m0)
local qval_2st = `qval_adj'*(`totalpvals'/(`totalpvals'-total_rejected1[1]))
* Generate value q_2st*r/M
gen fdr_temp2 = `qval_2st'*rank/`totalpvals'
* Generate binary variable checking condition p(r) <= q_2st*r/M
gen reject_temp2 = (fdr_temp2>=pval) if pval~=.
* Generate variable containing p-value ranks for all p-values that meet above condition
gen reject_rank2 = reject_temp2*rank
* Record the rank of the largest p-value that meets above condition
egen total_rejected2 = max(reject_rank2)
* A p-value has been rejected at level q if its rank is less than or equal to the rank of the max p-value that meets the above condition
replace bky06_qval = `qval' if rank <= total_rejected2 & rank~=.
* Reduce q by 0.001 and repeat loop
drop fdr_temp* reject_temp* reject_rank* total_rejected*
local qval = `qval' - .001
}
quietly sort original_sorting_order
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