Demetrescu, Matei; Luetkepohl, Helmut; Saikkonen, Pentti - Department of Economics, European University Institute - 2008
When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration relations and the other one restricts the trend to be orthogonal to...
