This paper introduces an efficient version of the Dickey-Fuller unit root test, which is based on BLUS residuals. Simulated critical values are provided, along with power simulation and an empirical example.

Purpose - The paper's objectives are: to address the issue of cointegration (efficient market hypothesis) between Greek spot and futures markets over the period of the crisis, 1999-2001; to investigate the short-run and long-run efficiency of the FTSE/ASE-20 stock index futures contract and FTSE/ASE...