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Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society
Testing the Hypothesis on the Cointegrating Vector When Data May Have a Near Unit Root
Vol.22, No.1, March 2011, 1–27
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Masako Miyanishi
(College of Business Administration, Seoul National University)
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Abstract
This paper considers the size distortion problem when testing the hypothesis on the cointegrating vector. The test on the cointegrating vector tends to be erroneously rejected. We propose constructing a valid confidence interval by application of the Bonferroni's inequality, and compare the performance to another alternative procedure.
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Keywords
Cointegration, Local-to-unity, Bonferroni procedure |
JEL classification codes
C12, C32 |
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