FDR Code

*CODE FROM M ANDERSON PAPER (2012)
*CREATE DATASET WITH ALL VARIABLES LINKED TO APPROPRIATE P-VALUES (pval)
quietly sum pval
local totalpvals = r(N)
quietly gen int original_sorting_order = _n
quietly sort pval
quietly gen int rank = _n if pval~=.
local qval = 1
gen bky06_qval = 1 if pval~=.
while `qval' > 0 {
local qval_adj = `qval'/(1+`qval')
gen fdr_temp1 = `qval_adj'*rank/`totalpvals'
gen reject_temp1 = (fdr_temp1>=pval) if pval~=.
gen reject_rank1 = reject_temp1*rank
egen total_rejected1 = max(reject_rank1)
local qval_2st = `qval_adj'*(`totalpvals'/(`totalpvals'-total_rejected1[1]))
gen fdr_temp2 = `qval_2st'*rank/`totalpvals'
gen reject_temp2 = (fdr_temp2>=pval) if pval~=.
gen reject_rank2 = reject_temp2*rank
egen total_rejected2 = max(reject_rank2)
replace bky06_qval = `qval' if rank <= total_rejected2 & rank~=.
drop fdr_temp* reject_temp* reject_rank* total_rejected*
local qval = `qval' - .001
}

quietly sort original_sorting_order
pause off
set more on