EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
研究了协整回归中的有效去趋势方法，开发了基于有效去趋势的修正协整检验，推导了渐近理论，并通过蒙特卡洛实验评估了有限样本下的表现。
This paper studies efficient detrending in cointegrating regression and develops modified tests for cointegration that use efficient detrending procedures. Asymptotics for these tests are derived. Monte Carlo experiments are conducted to evaluate the detrending procedures in finite samples and to compare tests for cointegration based on different detrending procedures. The limit theory allows for increasingly remote initial condition effects as the sample size goes to infinity.