Demetrescu, Matei; Lütkepohl, Helmut; Saikkonen, Pentti - In: Econometrics Journal 12 (2009) 3, pp. 414-435
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 being orthogonal to...