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

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Author Info

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

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 64 (1994)
Issue (Month): 1-2 ()
Pages: 3-27

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Handle: RePEc:eee:econom:v:64:y:1994:i:1-2:p:3-27

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
  2. Ángel Cuevas & Enrique M. Quilis & Antoni Espasa, 2011. "Combining benchmarking and chain-linking for short-term regional forecasting," Statistics and Econometrics Working Papers ws114130, Universidad Carlos III, Departamento de Estadística y Econometría.
  3. 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.
  4. 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.
  5. Ang, James, 2009. "Financial Liberalization Or Repression?," MPRA Paper 14497, University Library of Munich, Germany.
  6. Enrique M. Quilis(1), . "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.
  7. Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
  8. Swanson, Norman R., 1998. "Money and output viewed through a rolling window," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 455-474, May.
  9. Ang, James, 2009. "Growth Volatility and Financial Repression: Time Series Evidence from India," MPRA Paper 14412, University Library of Munich, Germany.
  10. 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.

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