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

被引：12

作者：

Baltagi, Badi H. ^{[1
]}

Wang, Zijun

机构：

[1] Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USA

[2] Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA

[3] Texas A&M Univ, Private Enterprise Res Ctr, College Stn, TX 77843 USA

来源：

EMPIRICAL ECONOMICS | 2007年 / 33卷 / 01期

关键词：

Trace Test; Cointegration Test; Cointegration Analysis; Applied Researcher; Model Selection Approach;

D O I：

10.1007/s00181-006-0082-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：41 / 49

页数：9

共 21 条

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