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.

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Econometric Institute Research Papers
Erasmus School of Economics

Franses, P. H. (1999). How to deal with intercept and trend in pratical cointegration analysis? (No. EI 9904-/A). Econometric Institute Research Papers. Retrieved from