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...

In this paper, we consider efficient estimation of coefficients of interest in seemingly unrelated regressions (SUR) models. Using the GMM interpretation of the usual OLS and GLS/FGLS estimation of regression coefficients in SUR models, we derive the necessary and sufficient condition for the...

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...

Does immigration leads to more job creation in an MSA, or does employment opportunities entice immigrant inflows to an MSA? Is immigration responsible for higher unemployment in a metro, or does immigration cause increases in self-employment that lead to improvement in labor market conditions?...