Folks,
Is there any implementation available in R for the simultaneous selection of
lag order and rank of a nonstationary VAR as described in Chao & Phillips
(1999): Model selection in partially nonstationary vector autoregressive
processes with reduced rank structure, J. Econ. (91).
Or any other systematic procedure for the consistent selection of lag order and
cointegration rank?
I understand that the usual procedure of first selecting the lag order (by AIC,
etc.) and then the rank (by Johansen) can result in misspecification.
Thanks,
Murali
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