In this paper we study various methods for detecting the co integrating rank as the number of variables gets large. We show that the use of standard tools will always lead to misleading inferences in such settings due to excessive size distortions. Particularly the LR test tends to produce too...

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...