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Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank

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  • George Kapetanios

Abstract

The determination of the cointegration rank of a multivariate cointegrated system is usually carried out assuming that the lag order of the vector autoregressive process representing the multivariate system is known. Since such an assumption is unlikely to hold in reality, the question of how the lag order selection may affect the determination of the cointegration rank arises. This paper aims to address this question in a Monte Carlo framework. Additionally, we provide a formal justification for the application of model selection criteria in selecting the cointegration rank.

Suggested Citation

  • George Kapetanios, 2000. "Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank," National Institute of Economic and Social Research (NIESR) Discussion Papers 166, National Institute of Economic and Social Research.
    • Handle: RePEc:nsr:niesrd:166
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    Cited by:

    1. Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.

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