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

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  • Mohsen Bahmani-Oskooee
  • Taggert Brooks

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.

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  • Mohsen Bahmani-Oskooee & Taggert Brooks, 2003. "A new criteria for selecting the optimum lags in Johansen's cointegration technique," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 875-880.
    • Handle: RePEc:taf:applec:v:35:y:2003:i:8:p:875-880
    DOI: 10.1080/00036840210129419
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    6. A. Hatemi-J & R. S. Hacker, 2009. "Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?," Applied Economics, Taylor & Francis Journals, vol. 41(9), pages 1121-1125.
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