primitive causality property then every local system ( A (V 1 ), A (V 2 ), φ) with a locally normal and locally faithful state φ …

We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987 …). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then … the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown …