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

A-Tier

Journal: Journal of Econometrics

Year: 1994

Volume: 64

Issue: 1-2

Pages: 3-27

Authors (4)

Bewley, Ronald (not in RePEc) Orden, David (Virginia Polytechnic Institute) Yang, Minxian (UNSW Sydney) Fisher, Lance A. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 4 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count