This article highlights the importance of statistical tests on the trend coefficient in cointegrating regressions when the stochastic regressors contain a deterministic linear trend. In addition to deriving asymptotic theory for t statistics constructed using integrated and modified ordinary...

This study investigates the asymptotic and finite-sample properties of KPSS-type cointegra-tion tests that use residuals from integrated and modified ordinary least squares estimations.The test statistic, denoted by KPSS^Fb is shown to provide a consistent test against the al-ternative of no...