Estimation for Unit Root Testing

We revisit estimation and computation of the Dickey Fuller (DF) and DF-type tests. Firstly, we show that the usual one step approach, based on the "DF autoregression", is likely to be subject to misspecification. Secondly, we clarify a neglected two step approach for estimation of the DF test. (In fact, we introduce a new two step DF autoregression.) This method is always correctly specified and efficient under the circumstances. However, it is either neglected or misused in unit root testing literature. The commonly employed hybrid of the (correct) two step method is shown to be inefficient, even asymptotically. Finally, we further improve/robustify the proposed two step method by employing the missing initial observations. Our finally proposed method is to be used in unit root testing, since it is a new DF autoregression that retains the missing observations.Comment: 10 page

Generalised Pustular Psoriasis (von Zumbusch type) following renal Transplantation. Report of a case and review of the literature

Generalized pustular psoriasis appears as an uncommon variant form of psoriasis consisting of widespread pustules on an erythematous background (von Zumbusch). A 39-year old male patient with a history of plaque psoriasis since the age of 9 who had an acute onset of generalized pustular psoriasis 12 days after he underwent renal transplantation is presented. Despite administered immunosuppression for transplantation the addition of cyclosporine A and methotrexate did not reverse the ongoing process of disease and the patient died on the 57th post-transplant day due to multiorgan failure following severe bone marrow suppression

On Unit Root Testing with Smooth Transitions

Improved critical values are calculated for Dickey-Fuller-type t ratio unit root tests against trend stationarity about non-linear trend, which is based on one deterministic smooth transition function. Simulation employs finegrid-searchoverbothsmoothtransitionparameterstofind accurate staring values, as well as constrained optimization. In addition, two new parsimonious models are introduced. Finally, an application of the test to the log of Real per capita GNP of USA is provided

Generalized least squares transformation and estimation with autoregressive error

Approximations of the usual GLS transformation matrices are proposed for estimation with AR error that remove boundary discontinuities. The proposed method avoids constrained optimization or rules of thumb that unnecessarily enforce estimated parameters to be in the interior.Gaussian AR model GLS transformation NLS and QML estimation LR test

Unit root testing based on BLUS residuals

This paper introduces an efficient version of the Dickey-Fuller unit root test, which is based on BLUS residuals. Simulated critical values are provided, along with power simulation and an empirical example.