Bonferroni correction for seasonal cointegrating ranks

DOI10.1016/J.ECONLET.2009.01.017MaRDI QIDQ1046358zbMATH OpenOpenAlexFDO

Authors 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

cointegrationmultiple comparison correctionseasonal unit root

Mathematics Subject Classification ID

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

Recommendations

• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Extended complex error correction models for seasonal cointegration
• Inference of seasonal cointegration with linear restrictions
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• Semiparametric seasonal cointegrating rank selection

Cites work

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

Cited in

(2)

• A simple GLS procedure for seasonal cointegration
• Semiparametric seasonal cointegrating rank selection

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