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

Baltagi, Badi H.; Wang, Zijun

doi:10.2139/ssrn.1815289

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

Syracuse University Center for Policy Research Working Paper No. 83

18 Pages Posted: 20 Apr 2011

See all articles by Badi H. Baltagi

Badi H. Baltagi

Syracuse University; CESifo (Center for Economic Studies and Ifo Institute); IZA Institute of Labor Economics; Syracuse University - Maxwell School of Citizenship and Public Affairs

Zijun Wang

Texas A&M University

Date Written: July 1, 2006

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 Classification: C21, C23

Suggested Citation: Suggested Citation

Baltagi, Badi H. and Wang, Zijun, Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets (July 1, 2006). Syracuse University Center for Policy Research Working Paper No. 83, Available at SSRN: https://ssrn.com/abstract=1815289 or http://dx.doi.org/10.2139/ssrn.1815289