Bonferroni correction for seasonal cointegrating ranks
I 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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- Cubadda, Gianluca, 2001. " Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
- Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society.
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