Is there any implementation available in R for the simultaneous selection of lag order and rank of a nonstationary VAR as described in Chao & Phillips (1999): Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, J. Econ. (91).
Or any other systematic procedure for the consistent selection of lag order and cointegration rank?
I understand that the usual procedure of first selecting the lag order (by AIC, etc.) and then the rank (by Johansen) can result in misspecification.
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