We study the problems of bias correction in the estimation of low order ARMA(p, q) time series models. We introduce a new method to estimate the bias of the parameters of ARMA(p, q) process based on the analytical form of the GLS transformation matrix of Galbraith and Zinde-Walsh (1992). We show...

This paper studies the finite sample performance of the sieve bootstrap augmented Dickey-Fuller (ADF) unit root test. It is well known that this test’s accuracy in terms of rejection probability under the null depends greatly on the underlying DGP. Through extensive simulations, we find that...