How to deal with intercept and trend in practical cointegration analysis?
Applied EconomicsPublished 1 April 2001
Philip Hans Franses
Citations28
SJR quartileQ2
SJR score0.62
SNIP0.89
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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.
Keywords
Economics, Econometrics and Finance
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