SUPPLEMENTARY TABLES FOR: “THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL” Heino Bohn Nielsen ∗ and Anders Rahbek † ∗ Department of Economics, University of Copenhagen. heino.bohn.nielsen@econ.ku.dk † Dept. of Applied Mathematics and Statistics, University of Copenhagen. rahbek@math.ku.dk Abstract: This note presents estimation and simulation results to compare the likelihood ratio (LR) test and the Two-Step based test for cointegration ranks in the I(2) model. Three empirical examples are considered: Banerjee, Cockerell, and Russell (2001), Rahbek, Kongsted, and Jørgensen (1999), and Nielsen (2002). A final simulation study generates more DGPs to cover a broader range of the parameter space of the I(2) model. Details on the implementation, e.g. the treatment of initial values, are given in the main paper. 1