Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
研究数据存在确定性趋势时协整模型的估计与推断，建议在水平回归中排除趋势以提高效率，并给出趋势排除有效性的卡方检验。
Estimation and inference in cointegrated models is examined in the presence of deterministic trends in the data. It is suggested that trends be excluded in the levels regression for maximal efficiency. Fully modified test statistics are asymptotically chi-square. A chi-square test for the validity of trend exclusion is presented. The asymptotic distributions of standard cointegration test statistics are shown to depend both upon regressor trends and estimation detrending methods.