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

Philip Hans Franses

55 citations0/0 files storedApplied Economics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1994The role of the constant and linear terms in cointegration analysis of nonstationary variables 1998Inference in Cointegrating Models: UK M1 Revisited

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