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

Applied Economics

Volumn 33, Issue 5, 2001, Pages 577-579

  Franses, P H ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS;

EID: 0035048455     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840121713     Document Type: Article

References (9)

1. Likelihood ratio statistics for autoregressive time series with a unit root
2. Inference in cointegrating models: UK M1 revisited
3. Co-integration and error-correction: Representation, estimation and testing
4. Statistical analysis of cointegration vectors
5. The role of the constant and linear terms in integration analysis of nonstationary variables