  A modelgenerator is developed that searches for cointegrated models among a
potentially large group of candidate models. The generator employs the first
step of the Engle-Granger procedure and orders cointegrated models according to
the information criterions AIC and BIC. Assisted by the generator, a
cointegrated relation is established between recorded violent crime in the
Netherlands, the number of males aged 15-25 years (split into Western and
non-Western background) and deflated consumption. In-sample forecasts reveal
that the cointegrated model outperforms the best short-run models.

Applications