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.

Additional Metadata
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
Journal Applied Economics
Citation
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