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

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse University. Center for Policy ResearchFollow
Zijun Wang

Description/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.

Document Type

Working Paper

Date

2006

Keywords

Model Selection, cointegration, residual-based tests, system-based tests

Language

English

Series

Working Papers Series

Disciplines

Mathematics

Additional Information

Harvest from RePEc at http://repec.org

Recommended Citation

Baltagi, Badi H. and Wang, Zijun, "Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets" (2006). Center for Policy Research. 82.
https://surface.syr.edu/cpr/82

Source

Metadata from RePEc

Creative Commons License

This work is licensed under a Creative Commons Attribution 3.0 License.