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Bonferroni correction for seasonal cointegrating ranks

  • Seong, Byeongchan
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    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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    File URL: http://www.sciencedirect.com/science/article/B6V84-4VGPK08-1/2/28541f2bf1616514032ccd9011a8fdf7
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 103 (2009)
    Issue (Month): 1 (April)
    Pages: 42-44

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    Handle: RePEc:eee:ecolet:v:103:y:2009:i:1:p:42-44
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    2. Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. 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.
    4. Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April.
    5. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
    6. Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
    7. Anders Rygh Swensen, 2006. "Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models -super-1," Econometrica, Econometric Society, vol. 74(6), pages 1699-1714, November.
    8. Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, vol. 62(2), pages 317-350, June.
    9. Byeongchan Seong & Sinsup Cho & Sung K. Ahn, 2006. "Maximum Eigenvalue Test for Seasonal Cointegrating Ranks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(4), pages 497-514, 08.
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