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...

The finite-sample size properties of smooth transition unit root tests are examined when applied to unit root processes subject to breaks in either level or drift. In contrast to the weighted symmetric and recursively mean-adjusted unit root tests which have been shown to be robust in these...

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...

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.