Although unit root tests have made a great contribution in time series econometrics, their major disadvantage is the low powers they attain on certain occasions, as for the case of the stationary AR(1), when φis close to one. In this study, considering the random walk as the true model, we...

This study, using a certain simulation strategy, for the exact maximum likelihood estimator of θ from the MA(1), estimates appropriate percentiles, together with their standard errors, offering a new set of critical values for testing in finite samples H0: θ = -1, against H1: θ-1. In this...