It is known that Dickey-Fuller tests can lead to spurious rejections of the unit root nullhypothesis when the true generating process is difference-stationary with a break.Suppose now that an unsuccessful attempt is made to allow for a break, either throughmisplaced dummy variables or through...

Futures market efficiency has been one of the most researched topics for a number of years.The huge amount of results produced, highly dependent on the econometric techniquesadopted and on the time period analysed, are often conflicting: for a given market, someauthors find evidence of...