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

C-Tier
Journal: Applied Economics
Year: 2001
Volume: 33
Issue: 5
Pages: 577-579

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:taf:applec:v:33:y:2001:i:5:p:577-579
Journal Field
General
Author Count
1
Added to Database
2026-01-25