<p>It is not necessary to <em>detrend</em> the series although the trend has to be dealt with and detrending is one of the options but there are also other options.</p>
<p>Other options include explicitly modeling the trend. For example, many tests for cointegration including Johansen cointegration test, it is possible to estimate the test together with a linear or quadratic or other deterministic trend terms. The only issue there is that with some cointegration tests the test statistics with and without trend and critical values are different, but most modern packages/programs already provide adjustments for some common deterministic trends - for example linear or quadratic trends.  Hence in such cases this might be preferable to detrending.</p>
<p>However, detrending the series is still an option. The problem with detrending is that you are modifying the series itself and there is always a risk that when you remove trend you are also throwing away some other information that the series had. Nonetheless, it is still a valid option.</p>

CC BY-SA 4.0
2020-12-21T02:20:10.217Z
Thanks!! So in a nutshell, it depends on me, I guess.
Emmanuel Ameyaw
CC BY-SA 4.0
2020-12-15T12:48:18.460Z
2020-12-15T12:48:18.460Z
1muflon1
<p>Should one remove trend from time-series before testing for cointegration? I guess no, but I couldn't find any answers yet.</p>
<p>Also is it necessary to remove trend before estimating a VAR model if the trend is the same across the variables like in the plot below?</p>
<p><a href="https://i.sstatic.net/biC2f.png" rel="nofollow noreferrer"><img src="https://i.sstatic.net/biC2f.png" alt="enter image description here" /></a></p>

CC BY-SA 4.0
2020-12-19T10:49:41.760Z
Another Stack Exchange site where you can find the most information about cointegration is [Cross Validated](https://stats.stackexchange.com/questions/tagged/cointegration).
Richard Hardy
<macroeconomics><applied-econometrics><time-series><co-integration>
Should one remove trend from time series before testing for cointegration?
Emmanuel Ameyaw
# Should one remove trend from time series before testing for cointegration?

(Asked by: username_0 on 2020-12-15)

Should one remove trend from time-series before testing for cointegration? I guess no, but I couldn't find any answers yet.

Also is it necessary to remove trend before estimating a VAR model if the trend is the same across the variables like in the plot below?

[![enter image description here](https://i.sstatic.net/biC2f.png)](https://i.sstatic.net/biC2f.png)

**Tags:** macroeconomics, applied-econometrics, time-series, co-integration

> **Comments:**
> **username_1**: Another Stack Exchange site where you can find the most information about cointegration is [Cross Validated](https://stats.stackexchange.com/questions/tagged/cointegration).  

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## 1 answers

### Answer by username_2 on 2020-12-15. Score: 1 | Accepted answer

It is not necessary to *detrend* the series although the trend has to be dealt with and detrending is one of the options but there are also other options.

Other options include explicitly modeling the trend. For example, many tests for cointegration including Johansen cointegration test, it is possible to estimate the test together with a linear or quadratic or other deterministic trend terms. The only issue there is that with some cointegration tests the test statistics with and without trend and critical values are different, but most modern packages/programs already provide adjustments for some common deterministic trends - for example linear or quadratic trends. Hence in such cases this might be preferable to detrending.

However, detrending the series is still an option. The problem with detrending is that you are modifying the series itself and there is always a risk that when you remove trend you are also throwing away some other information that the series had. Nonetheless, it is still a valid option.

> **Comments:**
> **username_0**: Thanks!! So in a nutshell, it depends on me, I guess.  

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