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 hdl.handle.net/1765/1559
Series Econometric Institute Research Papers
Citation
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 http://hdl.handle.net/1765/1559