Bonferroni correction for seasonal cointegrating ranks
AbstractI consider Bonferroni correction in identifying seasonal cointegrating ranks. Without the correction, the Type I error for the set of all seasonal cointegrating rank tests is substantially inflated because there simultaneously exist several seasonal unit roots in seasonal cointegration.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 103 (2009)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
Cointegration Seasonal unit root Multiple comparison correction;
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