A new criteria for selecting the optimum lags in Johansen's cointegration technique

C-Tier
Journal: Applied Economics
Year: 2003
Volume: 35
Issue: 8
Pages: 875-880

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Several test statistics like Akaike Information Criterion (AIC) or Schwarz Bayesian Criterion (SBC) are used to select the order of Vector Autoregressive Models (VAR) in Johansen's cointegration technique, but not the appropriate cointegrating vector in case of multiple vectors. In this note goodness of fit is introduced as a criterion to select the lag length as well as the appropriate vector simultaneously.

Technical Details

RePEc Handle
repec:taf:applec:v:35:y:2003:i:8:p:875-880
Journal Field
General
Author Count
2
Added to Database
2026-01-24