Bonferroni correction for seasonal cointegrating ranks

DOI10.1016/J.ECONLET.2009.01.017zbMath1181.62145OpenAlexW1995145963MaRDI QIDQ1046358

Byeongchan Seong

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.01.017

zbMATH Keywords

cointegrationseasonal unit rootmultiple comparison correction

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Paired and multiple comparisons; multiple testing (62J15)

Related Items (2)

Semiparametric Seasonal Cointegrating Rank Selection ⋮ A simple GLS procedure for seasonal cointegration

Cites Work

• A note on the critical values for the maximum likelihood (seasonal) cointegration tests
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Maximum likelihood inference on cointegration and seasonal cointegration
• Likelihood analysis of seasonal cointegration
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models

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