Testing for cointegrating rank via model selection: Evidence from 165 data sets

Badi H. Baltagi; Zijun Wang

doi:10.1007/s00181-006-0082-5

Testing for cointegrating rank via model selection: Evidence from 165 data sets

Badi H. Baltagi, Zijun Wang

Department of Economics

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

Abstract

The model selection approach has been proposed as an alternative to the popular tests for cointegration such as the residual-based augmented Dickey-Fuller 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.

Original language	English (US)
Pages (from-to)	41-49
Number of pages	9
Journal	Empirical Economics
Volume	33
Issue number	1
DOIs	https://doi.org/10.1007/s00181-006-0082-5
State	Published - Jul 2007

ASJC Scopus subject areas

Statistics and Probability
Mathematics (miscellaneous)
Social Sciences (miscellaneous)
Economics and Econometrics

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10.1007/s00181-006-0082-5

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abstract = "The model selection approach has been proposed as an alternative to the popular tests for cointegration such as the residual-based augmented Dickey-Fuller 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.",

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Testing for cointegrating rank via model selection: Evidence from 165 data sets

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