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A comparison between Ordinary Least Squares (OLS), Weighted Symmetric (WS), Modified Weighted Symmetric (MWS), Maximum Likelihood (ML), and our new Modification for Least Squares (MLS) estimator for the first order autoregressive are studied in the case of unit root using the Monte Carlo method. The Monte Carlo study sheds some light on how well the estimators, and the predictors on different samples size. We found that MLS estimator is less bias and mean squares error than any otherfatcat:27fr4oai2zfdhdha32vl77g4cq