How to Deal with Intercept adn Trend in Practical Cointegration Analysis?

This note gives a few practical guidelines for cointegration analysis. The focus is on testing the cointegration rank in a VAR model and on how an intercept and a trend should be incorporated in the model. Only two cases appear relevant for most economic data.

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Year of publication:	1999
Authors:	Franses, Ph.H.B.F.
Institutions:	Econometrisch Instituut, Faculteit der Economische Wetenschappen
Subject:	COINTEGRATION ANALYSIS \| TESTS \| ECONOMIC MODELS

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Series:	Erasmus University of Rotterdam - Econometric Institute.
Type of publication:	Book / Working Paper
Notes:	7 pages
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005775815