How to deal with intercept and trend in practical cointegration analysis?
AbstractThis 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 33 (2001)
Issue (Month): 5 ()
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Other versions of this item:
- Franses, Ph.H.B.F., 1999. "How to deal with intercept and trend in pratical cointegration analysis?," Econometric Institute Research Papers EI 9904-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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