Distortion-free futures price series

A survey of 10 articles that use long time series derived from futures prices shows that there is lack of consensus regarding the proper method of constructing a futures price time series. This may give the impression that the variable or linking approach used for such time series is not important. However, it was shown that the linking method and the form of the price variable both have significant effects on most statistical tests. Techniques to arrive at the best approach for connecting expiring futures or option contract prices are presented.