© 2014. Shayla Naznin, Gowranga Kumar Paul & Ajit Kumar Majumder. This is a research/review paper, distributed under the terms of the Creative Commons Attribution-Noncommercial 3.0 Unported License http://creativecommons.org/licenses/by- nc/3.0/), permitting all non commercial use, distribution, and reproduction in any medium, provided the original work is properly cited. Global Journal of Science Frontier Research: F Mathematics and Decision Sciences Volume 14 Issue 5 Version 1.0 Year 2014 Type : Double Blind Peer Reviewed International Research Journal Publisher: Global Journals Inc. (USA) Online ISSN: 2249-4626 & Print ISSN: 0975-5896 Boundary and Sign Problems of Parameters along with its Solutions of the Augmented Dickey-Fuller Test By Shayla Naznin, Gowranga Kumar Paul & Ajit Kumar Majumder Mawlana Bhashani Science and Technology University, Bangladesh Abstract- Usual test of testing unit root such as Dickey-Fuller (DF), Augmented Dickey-Fuller (ADF), Phillips Perron etc ignores sign and boundary of parameters. In this paper, we demonstrated the ignorance of sign and boundary of parameters and consequences of this ignorance in estimation and testing by Monte Carlo Simulation. Our main objective is to develop a method to capture the non-stationarity keeping in mind the boundary and sign problem and to develop the restricted ADF test based on ESS using the constraint estimate of parameters. We compare the power properties of the usual ADF test and ADF test with restricted error sum of squares using the constraint estimate of parameters by Monte Carlo Simulation and we find that the proposed ADF test gives better result than the usual ADF test in terms of power properties. Keywords: stationarity test, simulation, restricted ADF test, power of the test, optimization. GJSFR-F Classification : JEL Code: C12, C13, C15 BoundaryandSignProblemsofParametersalongwithitsSolutionsoftheAugmentedDickey-FullerTest Strictly as per the compliance and regulations of :