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.
|Keywords||VAR model, cointegration, econometrics, intercept, models and modelmaking, multivariate analysis, time series analysis, trends|
|Persistent URL||dx.doi.org/10.1080/000368401750106108, hdl.handle.net/1765/13524|
Franses, Ph.H.B.F. (2001). How to deal with intercept and trend in practical cointegration analysis?. Applied Economics, 577–579. doi:10.1080/000368401750106108