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

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

*Corresponding author for this work

Research output: Contribution to journalArticle

20 Citations (Scopus)

Abstract

The Box-Tiao (1977) and Johansen (1988) approaches to estimating cointegrating vectors are compared and small-sample properties of the estimators are evaluated in Monte Carlo experiments for bivariate first-order models. In models without drift, the distributions of the Box-Tiao estimator are found to be less dispersed and leptokurtic in a variety of interesting cases. The presence of drift induces asymptotic normality in both estimators and again the distributions of the Box-Tiao estimator are often less dispersed in small samples.

Original languageEnglish
Pages (from-to)3-27
Number of pages25
JournalJournal of Econometrics
Volume64
Issue number1-2
DOIs
Publication statusPublished - 1994
Externally publishedYes

Keywords

  • Canonical analysis
  • Cointegration
  • Error-correction models
  • Monte Carlo
  • Multiple time series

Fingerprint Dive into the research topics of 'Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models'. Together they form a unique fingerprint.

Cite this