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

被引：22

作者：

Franses, PH ^{[1
]}

机构：

[1] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands

来源：

APPLIED ECONOMICS | 2001年 / 33卷 / 05期

关键词：

D O I：

10.1080/000368401750106108

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：577 / 579

页数：3

共 9 条

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