Doornik, Jurgen A; Hendry, David F; Nielsen, Bent - In: Journal of Economic Surveys 12 (1998) 5, pp. 533-72
The paper addresses the practical determination of cointegration rank. This is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite-sample critical values may differ...