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Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models

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  • Bewley, Ronald
  • Orden, David
  • Yang, Minxian
  • Fisher, Lance A.

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Suggested Citation

  • Bewley, Ronald & Orden, David & Yang, Minxian & Fisher, Lance A., 1994. "Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 3-27.
    • Handle: RePEc:eee:econom:v:64:y:1994:i:1-2:p:3-27
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    Cited by:

    1. Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
    2. Haug, Alfred A., 1999. "Testing linear restrictions on cointegration vectors: Sizes and powers of Wald tests in finite samples," Technical Reports 1999,04, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
    4. Gunnar Bårdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
    5. Ang, James B., 2011. "Finance and consumption volatility: Evidence from India," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 947-964, October.
    6. Harris, Richard D.F. & Shen, Jian & Yilmaz, Fatih, 2022. "Maximally predictable currency portfolios," Journal of International Money and Finance, Elsevier, vol. 128(C).
    7. Ang, James, 2009. "Financial Liberalization Or Repression?," MPRA Paper 14497, University Library of Munich, Germany.
    8. Enrique M. Quilis(1), "undated". "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.
    9. Swanson, Norman R., 1998. "Money and output viewed through a rolling window," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 455-474, May.
    10. Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006. "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers 2006-050, Federal Reserve Bank of St. Louis.
    11. Alexandre D'Aspremont, 2010. "Identifying small mean-reverting portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 351-364.
    12. Aka, F.B. & Decaluwe, B., 1999. "Causality and Comovement Between Tax Rate and Budget Deficits: Further Evidence from Developing Countries," Papers 9911, Laval - Recherche en Politique Economique.
    13. Marco Cuturi & Alexandre d'Aspremont, 2015. "Mean-Reverting Portfolios: Tradeoffs Between Sparsity and Volatility," Papers 1509.05954, arXiv.org.
    14. Cuevas Rumín, Ángel & Quilis, Enrique M. & Espasa, Antoni, 2011. "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS ws114130, Universidad Carlos III de Madrid. Departamento de Estadística.
    15. Nagel, Hartmut & Schöbel, Rainer, 1998. "Can trading volume explain option prices?," Tübinger Diskussionsbeiträge 128, University of Tübingen, School of Business and Economics.
    16. Ang, James, 2009. "Growth Volatility and Financial Repression: Time Series Evidence from India," MPRA Paper 14412, University Library of Munich, Germany.
    17. Piotr Kębłowski, 2016. "Canonical Correlation Analysis in Panel Vector Error Correction Model. Performance Comparison," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(4), pages 203-217, December.

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