A number of studies consider the relation between military spending and economic growth using Granger causality techniques. Some studies have used samples of groups of countries, finding no consistent results. Other studies have focused on individual countries, which permits greater knowledge of...

A recent paper by Barkoulas et al. (Applied Financial Economics, 10, 177-84, 2000), examining long memory of returns in the Athens Stock Exchange (ASE, hereafter), finds evidence in favour of long memory. In this paper, long memory of returns in the ASE along with volatility are examined, using...

This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to...

Non-rejection of a unit root hypothesis by usual Dickey & Fuller (1979) (DF, hereafter) or Phillips & Perron (1988) (hereafter PP) tests should not be taken as strong evidence in favour of unit root presence. There are less popular, but more powerful, unit root tests that should be employed...

A modification of the existing point optimal unit root test is proposed. The new test has very good finite sample power and is easily correctable via semi-parametric methods. Critical values are provided along with power simulation and empirical examples.

In the context of a model with linear trend plus AR(1) error, this paper studies power of various unit root tests, under proper stationarity alternatives. A large number of invariant tests is examined to compare their power properties.

Via simulation, the size of the lagrange multiplier (LM) unit root test is examined, when there is a neglected level or trend break under the null hypothesis. It is found that unlike other more popular unit root tests in the literature, the size of the LM is not distorted/inflated. Thus,...

The research of Leybourne and Newbold (2003) is extended to examine the finite-sample size of the weighted symmetric cointegration test when applied to independent unit root processes subject to structural change. The results obtained show the weighted symmetric cointegration test to be more...

Using Monte Carlo simulation, the size of the DF-GLS test is examined when there is a neglected level or trend break under the null hypothesis. Unlike the original DF test, the DF-GLS test has size which is not distorted/inflated.

This article proposes a modified version of the Langrange Multiplier (LM) test for a unit root, which is efficient and avoids arbitrary estimation of the levels regression intercept. If required, this intercept can be estimated indirectly in the second-step autoregression. In addition to...