Before revision:  While it is well known that using a wrong cointegration rank leads to invalid (bootstrap) inference, we demonstrate that even if the rank is consistently estimated, ignoring uncertainty regarding the true rank can make inference highly unreliable for sample sizes encountered in macroeconomic applications. We investigate the effects of rank uncertainty in a simulation study, comparing several methods designed for handling model uncertainty .
After revision:  In this paper we investigate the consequences of ignoring this uncertainty. We adapt several proposed methods for handling model uncertainty .