Before revision:  We adapt several proposed methods for handling model uncertainty to perform inference in cointegrated VAR models and highlight their shortcomings in the present setting. Therefore, we propose a new method - Weighted Inference by Model Plausibility (WIMP) - that takes rank uncertainty into account in a fully data-driven way.
After revision:  We adapt several proposed methods for handling model uncertainty to perform inference in cointegrated VAR models and highlight their shortcomings . We propose a new method - Weighted Inference by Model Plausibility (WIMP) - that takes rank uncertainty into account in a fully data-driven way.