Model Selection, cointegration, residual-based tests, system-based tests
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.
Baltagi, Badi H. and Wang, Zijun, "Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets" (2006). Center for Policy Research. Paper 82.
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