Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets

Badi Baltagi and Zijun Wang

No 83, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

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.

JEL-codes: C21 C23 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2006-07
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:83

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