Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: How to deal with intercept and trend in pratical cointegration analysis?
Abstract: 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.
Creation-Date: 1999-02-05
File-URL: https://repub.eur.nl/pub/1559/feweco19990414090913.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9904-/A
Keywords: VAR model, cointegration analysis, intercept, trend
Handle: RePEc:ems:eureir:1559