Efficient detrending in cointegrating regression

This paper studies efficient detrending in cointegrating regression and dev elops modified tests for cointegration that use efficient detrending proced ures. Asymptotics for these tests are derived. Monte Carlo experiments are conducted to evaluate the detrending procedures in finite samples and to co mpare tests for cointegration based on different detrending procedures. The limit theory allows for increasingly remote initial condition effects as t he sample size goes to infinity.