As increasing evidence suggests that multiple correlated genetic variants could jointly influence the outcome, a multilocus test that aggregates association evidence across multiple genetic markers in a considered gene or a genomic region may be more powerful than a single-marker test for detecting susceptibility loci. We propose a multilocus test, AdaJoint, which adopts a variable selection procedure to identify a subset of genetic markers that jointly show the strongest association signal, and defines the test statistic based on the selected genetic markers. The P-value from the AdaJoint test is evaluated by a computationally efficient algorithm that effectively adjusts for multiple-comparison, and is hundreds of times faster than the standard permutation method. Simulation studies demonstrate that AdaJoint has the most robust performance among several commonly used multilocus tests. We perform multilocus analysis of over 26,000 genes/regions on two genome-wide association studies of pancreatic cancer. Compared with its competitors, AdaJoint identifies a much stronger association between the gene CLPTM1L and pancreatic cancer risk (6.0 × 10(-8)), with the signal optimally captured by two correlated single-nucleotide polymorphisms (SNPs). Finally, we show AdaJoint as a powerful tool for mapping cis-regulating methylation quantitative trait loci on normal breast tissues, and find many CpG sites whose methylation levels are jointly regulated by multiple SNPs nearby.