For a simple 2 variables (say X and Y) cointegration test, how does it affect our analysis, if we perform regression on X and Y with and without the intercept, and then test the spread for stationarity.
I am doing this analysis for stocks.
You're going to need an intercept, unless both your stocks start at 0! One stock will be a multiple of another, but then the first value in the history will always be a positive number.
Wait until you get into the time series component!