SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION

By A. Aznar, M. Salvador. Econometric Theory, 2002

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Crude oil and stock markets: Stability, instability, and bubbles ☆ (2009, background): “See, for example, Gonzalo and Pitarkis (1998), Chao and Phillips (1999), Aznar and Salvador (2002), Kapetanios (2004), and Wang and Bessler (2005).”
Safeguarding food security in volatile global markets. (2011, result): “…information-criterion based comparison, which has been shown to produce robust results in many different settings (see among others: Gonzalo & Pitarakis, 2002 in the similar case of threshold regime-switching models, and Aznar & Salvador, 2002 for determining the cointegration rank).”
Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling (2009, methodology): “In fact, Pesaran (2003) considers an example where he includes p lagged values of ui,t in (3) to obtain a stationary p-th order autoregression for ui,t.”
Cointegration Testing in Panels with Common Factors (2006, methodology): “[3] Aznar, A.”