How to deal with intercept and 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 testing model. Only two cases appear relevant for most economic data.

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Year of publication:	2001
Authors:	Franses, Philip Hans
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 33.2001, 5, p. 577-579
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009228078