Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
From MaRDI portal
Publication:1341187
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
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
This page was built for publication: Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
