Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets
AbstractThe model selection approach has been proposed as an alternative to the popular tests for cointegration such as the residual-based ADF test and the system-based trace test. Using information criteria, we conduct cointegration tests on 165 data sets used in published studies. The empirical results demonstrate the usefulness of the model selection approach for applied researchers.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 33 (2007)
Issue (Month): 1 (July)
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Other versions of this item:
- Badi H. Baltagi & Zijun Wang, 2006. "Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets," Center for Policy Research Working Papers 83, Center for Policy Research, Maxwell School, Syracuse University.
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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