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

DOI10.1016/0304-4076(94)90055-8zbMath0825.62951OpenAlexW2057530883MaRDI QIDQ1341187

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

Publication date: 28 November 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90055-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (4)

Identifying small mean-reverting portfolios ⋮ The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors ⋮ System estimators of cointegrating matrix in absence of normalising information ⋮ Testing for \(r\) versus \(r-1\) cointegrating vectors

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Common nonstationary components of asset prices
• Statistical analysis of cointegration vectors
• Five alternative methods of estimating long-run equilibrium relationships
• Optimal Inference in Cointegrated Systems
• A canonical analysis of multiple time series
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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