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Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets

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  • Badi Baltagi
  • Zijun Wang

Abstract

The 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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  • Badi Baltagi & Zijun Wang, 2007. "Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets," Empirical Economics, Springer, vol. 33(1), pages 41-49, July.
    • Handle: RePEc:spr:empeco:v:33:y:2007:i:1:p:41-49
    DOI: 10.1007/s00181-006-0082-5
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    JEL classification:

    • 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; Spatio-temporal Models

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