On cointegration tests for VAR models with drift

Following Bewley and Yang (Journal of the American Statistical Association, 1995, 90, 990–996), this paper considers cointegration tests that are based on the canonical correlation analysis (CCA) of Box and Tiao (Biometrika, 1977, 64, 355–365), for VAR models with drift. The critical values of the test statistics are shown to depend on the presence of drift. In addition, it is shown that the maximum eigenvalue from the CCA may be used as an indicator for the presence of drift. Tables of critical values are also presented.