How to deal with intercept and trend in practical cointegration analysis?
January 2001
Article
pp 577-579.
| Related Files |
|---|
|
Redirect to publisher's version
(publisher's version.url.txt, 44 bytes) |
Repository contains one additional file which is not publicly available
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.
Keywords
- econometrics
- cointegration
- time series analysis
- multivariate analysis
- models and modelmaking
- trends
- VAR model
- intercept
