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.

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doi.org/10.1080/000368401750106108, hdl.handle.net/1765/13524
Applied Economics
Erasmus School of Economics

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