Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process

By Pentti Saikkonen, H. Lutkepohl. 2000

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Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, methodology): “In their framework, the timing of structural breaks is endogenously determined by applying the unit root testing procedure developed by Zivot and Andrews (1992) and thereafter a modified cointegration approach suggested by Saikkonen and Lütkepohl (2000a, 2000b, 2000c) is adopted.”