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

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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.

Document Type: Research Article

DOI: https://doi.org/10.1080/00036840210129419

Affiliations: Department of Economics and The Centre for Research on International Economics, The University of Wisconsin-Milwaukee, Milwaukee, WI 53201, USA and Department of Economics, The University of Wisconsin-La Crosse, La Crosse, WI 54601, USA

Publication date: 2003-05-01

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