The role of the constant and linear terms in cointegration analysis of nonstationary variables
分析了协整变量自回归模型中常数项和线性项的作用，讨论了通过限制确定性项定义的各种模型，并展示了如何用降秩回归进行统计推断，给出了检验统计量和估计量的渐近分布。
The autoregressive model for cointegrated variables is analyzed with respect to the role of the constant and linear terms. Various models for 1(1) variables defined by restrictions on the deterministic terms are discussed, and it is shown that statistical inference can be performed by reduced rank regression. The asymptotic distributions of the test statistics and estimators are found. A similar analysis is given for models for 1(2) variables with a constant term.