The appropriateness of the Dickey-Fuller unit root test is studied using two alternative unit root test models. The segmented trend model is strongly supported and the second-order trend model is favoured for some series. The sample set consists of observations of nine basic macroeconomic time...

The small sample properties of the cointegrated labour demand models are studied with some Monte Carlo experiments. The results indicate that the Engle-Granger two-step estimation procedure gives biased OLS-estimates in small samples for the cointegrated vector and the error correction...