Studentization and deriving accurate p-values

We have a statistic for assessing an observed data point relative to a statistical model but find that its distribution function depends on the parameter. To obtain the corresponding p-value, we require the minimally modified statistic that is ancillary; this process is called Studentization. We use recent likelihood theory to develop a maximal third-order ancillary; this gives immediately a candidate Studentized statistic. We show that the corresponding p-value is higher-order Un(0, 1), is equivalent to a repeated bootstrap version of the initial statistic and agrees with a special Bayesian modification of the original statistic. More importantly, the modified statistic and p-value are available by Markov chain Monte Carlo simulations and, in some cases, by higher-order approximation methods. Examples, including the Behrens--Fisher problem, are given to indicate the ease and flexibility of the approach. Copyright 2008, Oxford University Press.