1999-02-05
How to deal with intercept and trend in pratical cointegration analysis?
Publication
Publication
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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| hdl.handle.net/1765/1559 | |
| Econometric Institute Research Papers | |
| Organisation | Erasmus School of Economics |
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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 http://hdl.handle.net/1765/1559 |
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