Cointegration analysis and the choice of lag length

Jamie Emerson

Applied Economics Letters, 2007, vol. 14, issue 12, 881-885

Abstract: This article investigates the effects of the choice of lag length on the estimation of long run cointegration relationships using the Johansen estimation procedure. This issue is of particular interest to applied researchers using time series data, see for example Awokuse (2005), Bacchiocchi et al. (2005), Gallegati (2005), Gomes and Paz (2005), Hasan (2005) and Pieroni and Ricciarelli (2005), among many others. An empirical example is used to demonstrate some of the issues that applied researchers face when they wish to use cointegration analysis. First, the number of lags to include in the model must be determined. However, different lag length selection criteria often lead to a different conclusion regarding the optimal lag order that should be used. Second, as demonstrated in this article, the choice of lag length can drastically affect the results of the cointegration analysis.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:14:y:2007:i:12:p:881-885

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850600689956

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().