TY - JOUR N2 - Small sample properties of unrestricted and restricted canonical correlation estimators of cointegrating vectors for panel vector autoregressive process are considered when the cross-sectional dependencies occur in the process generating nonstationary panel data. It is shown that the unrestricted Box-Tiao estimator is slightly outperformed by the unrestricted Johansen estimator if the dynamic properties of the underlying process are correctly specified. The comparison of performance of the restricted canonical correlation estimator of cointegrating vectors for the panel VAR and for the classical VAR applied independently for each cross-section reveals that the latter performs better in small samples when the cross-sectional dependence is limited to the error terms correlations, even though it is inefficient in the limit, but it falls short in comparison to the former when there are cross-sectional dependencies in the short-run dynamics and/or in the long-run adjustments. L1 - http://www.journals.pan.pl/Content/103710/PDF-MASTER/mainFile.pdf L2 - http://www.journals.pan.pl/Content/103710 PY - 2016 IS - No 4 EP - 217 DO - 10.24425/cejeme.2016.119196 KW - canonical correlation analysis KW - cointegration KW - panel VEC model KW - LCCA KW - Box-Tiao approach A1 - Kębłowski, Piotr PB - Oddział PAN w Łodzi DA - 31.12.2016 T1 - Canonical Correlation Analysis in Panel Vector Error Correction Model. Performance Comparison SP - 203 UR - http://www.journals.pan.pl/dlibra/publication/edition/103710 T2 - Central European Journal of Economic Modelling and Econometrics ER -