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

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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.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840121713

Publication date: April 1, 2001

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