Bonferroni correction for seasonal cointegrating ranks

Byeongchan Seong

Economics Letters, 2009, vol. 103, issue 1, 42-44

Abstract: 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.

Keywords: Cointegration; Seasonal; unit; root; Multiple; comparison; correction (search for similar items in EconPapers)
Date: 2009
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