We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well...

A website that encourages and facilitates the use of quantitative, publicly available Australian macroeconomic data is introduced. The Australian Macro Database hosted at ausmacrodata provides a user friendly front end for searching among over 40000 economic variables, sourced from the...