There is no available Prais-Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and...

In this paper we introduce a new test of the null hypothesis of no cointegration between a pair of time series. For a very simple generating model, our test compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansen trace test. Indeed, shortcomings of the former motivated the...