Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets

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. Electronic Supplementary Material  Supplementary material is available for this article at and is accessible for authorized users.