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

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.