Anderson, Richard G.; Qian, Hailong; Rasche, Robert H. - Federal Reserve Bank of St. Louis - 2006
In this paper, we examine the use of Box-Tiao*s (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen*s (1995) ML-based method suffers from severe small...