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st: AIC test level or first differences?


From   Merijn Groenenboom <m.groenenboom@students.uu.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: AIC test level or first differences?
Date   Sun, 7 Aug 2011 17:59:46 +0200

Dear statalisters,

I am writing a research with tests like multivariate cointegration
test and granger causality test.
To determine the number of lags, I use Akaike Information Criteria (AIC) test.
I use first differences for the granger causality, so I expect I
should use first differences for AIC test as well?
And similarly I do not use first differences for the multivariate
cointegration test, so I expect not to use first differences
for the AIC test here?

Can anybody tell me whether I am right or not?

Thanks in advance!
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