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.

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

Franses, P. H. (2001). How to deal with intercept and trend in practical cointegration analysis?. Applied Economics, 577–579. doi:10.1080/000368401750106108