How to deal with intercept and trend in practical cointegration analysis?
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.
Year of publication: |
2001
|
---|---|
Authors: | Franses, Philip Hans |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 33.2001, 5, p. 577-579
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Performance of seasonal adjustment procedures : simulation and empirical results
Franses, Philip Hans, (2005)
-
Financial volatility: an introduction
Franses, Philip Hans, (2002)
-
Forecasting economic and financial time-series with non-linear models
Clements, Michael P., (2003)
- More ...