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

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References

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1999Testing for r versus r−1 cointegrating vectors39 cited

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2000Strongly Consistent Determination of Cointegrating Rank Via Canonical Correlations34 cited

2011Finance and consumption volatility: Evidence from India30 cited

1995Tests for Cointegration Based on Canonical Correlation Analysis30 cited

2002TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES26 cited

2006The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors25 cited

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2003Bootstrapping and Bartlett corrections in the cointegrated VAR model13 cited