Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets
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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"Asymptotic Properties of Residual Based Tests for Cointegration,"
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847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
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Elsevier, vol. 91(2), pages 227-271, August.
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ECO2004/20, European University Institute.
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38, Boston University - Department of Economics.
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