Cryptic multiple hypotheses testing in linear models: overestimated effect sizes and the winner's curse

Fitting generalised linear models (GLMs) with more than one predictor has become the standard method of analysis in evolutionary and behavioural research. Often, GLMs are used for exploratory data analysis, where one starts with a complex full model including interaction terms and then simplifies by removing non-significant terms. While this approach can be useful, it is problematic if significant effects are interpreted as if they arose from a single a priori hypothesis test. This is because model selection involves cryptic multiple hypothesis testing, a fact that has only rarely been acknowledged or quantified. We show that the probability of finding at least one 'significant' effect is high, even if all…

• DF
  Deutsche Forschungsgemeinschaft

  Award: FO 340/1-3