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...

Approximations of the usual GLS transformation matrices are proposed for estimation with AR error that remove boundary discontinuities. The proposed method avoids constrained optimization or rules of thumb that unnecessarily enforce estimated parameters to be in the interior.

For a Gaussian MA(1) process, a new exact ML estimator is proposed that avoids the pile-up phenomenon (boundary estimates). Finite sample comparison is undertaken, along with Wald-type inference for an MA unit root or over-differencing (stationarity).

This paper considers the asymptotic distribution of the OLS estimator in a simple, Gaussian unit-root AR(1) with fixed, non-zero startup. All asymptotic possibilities are considered. The approach is new, relatively simple, and relies on observing and determining the asymptotic/limiting behavior...