COMPARISON OF BOX-TIAO AND JOHANSEN CANONICAL ESTIMATORS OF COINTEGRATING VECTORS IN VEC(1) MODELS

被引:21
作者
BEWLEY, R [1 ]
ORDEN, D [1 ]
YANG, MX [1 ]
FISHER, LA [1 ]
机构
[1] VIRGINIA POLYTECH INST & STATE UNIV,BLACKSBURG,VA 24061
关键词
COINTEGRATION; CANONICAL ANALYSIS; ERROR-CORRECTION MODELS; MULTIPLE TIME SERIES; MONTE-CARLO;
D O I
10.1016/0304-4076(94)90055-8
中图分类号
F [经济];
学科分类号
02 ;
摘要
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 bivariete first-order models. In 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.
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收藏
页码:3 / 27
页数:25
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