A new criteria for selecting the optimum lags in Johansen's cointegration technique
Mohsen Bahmani-Oskooee () and
Taggert Brooks ()
Applied Economics, 2003, vol. 35, issue 8, 875-880
Several test statistics like Akaike Information Criterion (AIC) or Schwarz Bayesian Criterion (SBC) are used to select the order of Vector Autoregressive Models (VAR) in Johansen's cointegration technique, but not the appropriate cointegrating vector in case of multiple vectors. In this note goodness of fit is introduced as a criterion to select the lag length as well as the appropriate vector simultaneously.
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