This paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio based apprThis paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio based approach.[+][-]