The goal of this paper is to test the consumption based CAPM. To achieve this goal, we propose a new test capable of examining the unit root null hypothesis in cases of non-trending data. We fi…nd that the real interest rate series and the consumption growth rate series for Australia, Canada, D… enmark, France, Italy, the USA, the UK, and Norway are non-stationary. This …finding is consistent with the expectations of the consumption based CAPM.