How to deal with intercept and trend in pratical cointegration analysis?
1999-02-05
Research Paper
This publication is part of collection
| Related Files |
|---|
|
Download File
(feweco19990414090913.ps, 0.4MB) |
View PDF Version
(feweco19990414090913.pdf, 0.2MB) |
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.
Keywords
Automatically Extracted Terms
- model
- johansen
- trend
- series
- cointegration
- cointegration analysis
- analysis
- value
- cointegrating
- section
- eview
- canonical correlations
- theory
- relation
- assumption
- univariate
- table
- result
- oxford university press
- cointegrating relations
