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

Badi H. Baltagi, Zijun Wang

Research output: Contribution to journalArticle

9 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 languageEnglish (US)
Pages (from-to)41-49
Number of pages9
JournalEmpirical Economics
Volume33
Issue number1
DOIs
StatePublished - Jul 2007

ASJC Scopus subject areas

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

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