How to deal with intercept and trend in pratical cointegration analysis?
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.
|Keywords||VAR model, cointegration analysis, intercept, trend|
|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 http://hdl.handle.net/1765/1559
|feweco19990414090913.pdf Final Version , 176kb|