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.

Additional Metadata
Keywords VAR model, cointegration analysis, intercept, trend
Persistent URL
Series Econometric Institute Research Papers
Franses, Ph.H.B.F. (1999). How to deal with intercept and trend in pratical cointegration analysis? (No. EI 9904-/A). Econometric Institute Research Papers. Retrieved from