How to deal with intercept and trend in practical cointegration analysis?

Philip Hans Franses

Applied Economics, 2001, vol. 33, issue 5, 577-579

Abstract: 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 testing model. Only two cases appear relevant for most economic data.

Date: 2001
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Working Paper: How to deal with intercept and trend in pratical cointegration analysis? (1999)
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DOI: 10.1080/00036840121713

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