Similarity issues in cointegration analysis

Usually cointegration models have dynamic, stochastic components as well as deterministic components. This paper identifies relevant cointegration mod els in terms of interpretability and similarity with respect to parameters of-deterministic components. Similarity implies that interference on cointe gration rank or common trends can be separated from inference on parameters of deterministic components. The idea is that the functional form and ther eby the interpretation of deterministic components is not questioned in con nection with the rank test, but it can be tested subsequently. The paper fo cuses on likelihood based inference in sector autoregressive models and a f ew numerical simulations illustrate the role of similarity.