Thank you very much for your reply. I looked into the corr_tests in the NRejections package now. Here it is possible to specify the method, one option is "romano". However, when I specify "romano" the following error is returned:
error: Mat::row(): index out of bounds
All other methods (e.g. nreject, Wstep, holm) work out fine. I have already checked, there is no NAN in my dataset.
Do you have any idea what the problem could be?