Hi Mathieu,
Thank you for the response and suggestion. It's true that I haven't seen any claims that Chao/Phillips is always better than the methodology you outline (except for their own statement that it penalises over- and under- parametrisation and is consistent), but it seemed like an interesting approach worthy of a cointegration toolbox.
I have to say I haven't found an implementation as yet, but certainly if I ever manage to code it myself, I'll let you know.
Best wishes,
Murali 		 	   		  
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