by k.dkhk
Last Updated August 13, 2019 21:19 PM

Please have a look at the plot of 5 different time series $Y_t=(y_{1,t},y_{2,t},y_{3,t},y_{4,t},y_{5,t})$. I want to use R's `urca`

package to perform cointegration analysis on $Y_t$ using the VECM (*vector error corrected model*):
$$
Y_t = \Pi Y_{t-1} + \sum_{i=1}^k\Gamma_i\Delta Y_{t-i}+\Phi D_t +\epsilon_t
$$

**How should I determine the***form*of the VECM regarding the deterministic term?**Can I by "eyeball" method make a***reasonable*decision?

The 3 most common ways are implemented in `urca`

as: `trend = none,const drift`

.

I am using these books:

*Analysis of Integrated and Cointegrated Time Series with R*by Pfaff*New Introduction to Multiple Time Series Analysis*by Lütkepohl

Neither of these books say anything about this topic but in there examples (I think) they use the "eyeball" method

- ServerfaultXchanger
- SuperuserXchanger
- UbuntuXchanger
- WebappsXchanger
- WebmastersXchanger
- ProgrammersXchanger
- DbaXchanger
- DrupalXchanger
- WordpressXchanger
- MagentoXchanger
- JoomlaXchanger
- AndroidXchanger
- AppleXchanger
- GameXchanger
- GamingXchanger
- BlenderXchanger
- UxXchanger
- CookingXchanger
- PhotoXchanger
- StatsXchanger
- MathXchanger
- DiyXchanger
- GisXchanger
- TexXchanger
- MetaXchanger
- ElectronicsXchanger
- StackoverflowXchanger
- BitcoinXchanger
- EthereumXcanger