Before revision:  We investigate the effects of rank uncertainty in a simulation study, comparing several methods designed for handling model uncertainty . We propose a new method - Weighted Inference by Model Plausibility (WIMP) - that takes rank uncertainty into account in a fully data-driven way and outperforms all other methods considered in the simulation study.
After revision:  We investigate the effects of rank uncertainty in a simulation study, comparing several methods designed 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 and outperforms all other methods considered in the simulation study.