CPR Working Paper Series No. 83
Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets
Badi H. Baltagi and Zijun Wang
July 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.
You can download a PDF version of the paper and view it and print it using a FREE copy of Adobe Acrobat Reader.
Click here
for the Adobe Acrobat version of CPR Working Paper 83
Or
for more information on ordering a hard copy of this paper, please contact
the Publications Officer, Center for Policy Research, 426 Eggers Hall,
Syracuse University, Syracuse, New York 13244-1020 or e-mail our
Publications Officer at puboff@maxwell.syr.edu.
Each hard copy costs $5.00 (US) and payment should be included with mail
order.
