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

Authors
Franses, PH
Citation
Ph. Franses, How to deal with intercept and trend in practical cointegration analysis?, APPL ECON, 33(5), 2001, pp. 577-579
Citations number
9
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS
ISSN journal
00036846 → ACNP
Volume
33
Issue
5
Year of publication
2001
Pages
577 - 579
Database
ISI
SICI code
0003-6846(200104)33:5<577:HTDWIA>2.0.ZU;2-H
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 int ercept and a trend should be incorporated in the testing model. Only two ca ses appear relevant for most economic data.