How to deal with intercept and trend in pratical 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:	1999-02-05
Authors:	Franses, Ph.H.B.F.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	cointegration analysis \| VAR model \| intercept \| trend

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 9904-/A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008584661