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Ekonomi Bölümü

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Browsing Ekonomi Bölümü by Author "103299"

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    Article
    Citation Count: Omay, Tolga; Çorakçı, Ayşegül (2023). "A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms", Computational Economics.
    A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms
    (2023) Omay, Tolga; Çorakçı, Ayşegül; 103299
    In this study, we investigate the performance of different optimization algorithms in estimating the Markov switching (MS) deterministic components of the traditional ADF test. For this purpose, we consider Broyden, Fletcher, Goldfarb, and Shanno (BFGS), Berndt, Hall, Hall, Hausman (BHHH), Simplex, Genetic, and Expectation-Maximization (EM) algorithms. The simulation studies show that the Simplex method has significant advantages over the other commonly used hill-climbing methods and EM. It gives unbiased estimates of the MS deterministic components of the ADF unit root test and delivers good size and power properties. When Hamilton’s (Econometrica 57:357–384, 1989) MS model is re-evaluated in conjunction with the alternative algorithms, we furthermore show that Simplex converges to the global optima in stationary MS models with remarkably high precision and even when convergence criterion is raised, or initial values are altered. These advantages of the Simplex routine in MS models allow us to contribute to the current literature. First, we produce the exact critical values of the generalized ADF unit root test with MS breaks in trends. Second, we derive the asymptotic distribution of this test and provide its invariance feature. © 2023, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
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    Citation Count: Omay, Tolga; Çorakçı, Ayşegül; Hasdemir, Esra (2021). "High persistence and nonlinear behavior in financial variables: A more powerful unit root testing in the estar framework", Mathematics, Vol. 9, No. 20.
    High persistence and nonlinear behavior in financial variables: A more powerful unit root testing in the estar framework
    (2021) Omay, Tolga; Çorakçı, Ayşegül; Hasdemir, Esra; 103299
    In this study, we consider the hybrid nonlinear features of the Exponential Smooth Transition Autoregressive-Fractional Fourier Function (ESTAR-FFF) form unit root test. As is well known, when developing a unit root test for the ESTAR model, linearization is performed by the Taylor approximation, and thereby the nuisance parameter problem is eliminated. Although this linearization process leads to a certain amount of information loss in the unit root testing equation, it also causes the resulting test to be more accessible and consistent. The method that we propose here contributes to the literature in three important ways. First, it reduces the information loss that arises due to the Taylor expansion. Second, the research to date has tended to misinterpret the Fourier function used with the Kapetanios, Shin and Snell (2003) (KSS) unit root test and considers it to capture multiple smooth transition structural breaks. The simulation studies that we carry out in this study clearly show that the Fourier function only restores the Taylor residuals of the ESTAR type function rather than accounting forthe smooth structural break. Third, the new nonlinear unit root test developed in this paper has very strong power in the highly persistent near unit root envi-ronment that the financial data exhibit. The application of the Kapetanios Shin Snell-Fractional Fourier (KSS-FF) test to ex-post real interest rates data of 11 OECD countries for country-specific sample periods shows that the new test catches nonlinear stationarity in many more countries than the KSS test itself. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.
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    Citation Count: Çorakçı, Ayşegül; Omay, Tolga (2023). "Is there convergence in renewable energy deployment? Evidence from a new panel unit root test with smooth and sharp structural breaks", Renewable Energy, Vol. 205, pp. 648-662.
    Is there convergence in renewable energy deployment? Evidence from a new panel unit root test with smooth and sharp structural breaks
    (2023) Çorakçı, Ayşegül; Omay, Tolga; 103299
    This study examines whether the contribution of renewable energy to the total primary energy supply converges in a panel of 24 OECD countries over the period 1960–2020. To this end, a new panel unit root test that allows for both sharp and smooth breaks is proposed to test for the stochastic convergence hypothesis. Although renewable energy convergence is not rejected when the newly proposed test is applied to the full panel of OECD countries, it found only moderate support within the members of the panel using a sequential panel selection methodology. In fact, in two high-income OECD countries, the contribution of renewable energy to the primary energy supply shows no sign of convergence: Poland and Iceland. Therefore, the renewable energy shares seem to be converging to a common steady state in only a group of OECD countries over the long run. This uneven pattern of convergence, in turn, suggests that the OECD countries are still far away from developing a common sustainable renewable energy target, calling for urgent international policy cooperation to encourage the divergent economies to seek out the menu of policies that ensure the worldwide success of renewable energy transformation.
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    Article
    Citation Count: Corakçı, Ayşegül; Emirmahmutoglu, Furkan; Omay, Tolga, "Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence", Emprica, Vol.44, No.11, pp.91-120, (2017).
    Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence
    (Springer, 2017) Çorakçı, Ayşegül; Emirmahmutoğlu, Furkan; Omay, Tolga; 103299
    This paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real interest rate differential series and using these estimates determine which panel unit root test is better for analyzing the RIPH. To this end, smooth transition autoregressive and threshold autoregressive (TAR) models are estimated for two different panels of countries: G7 and post-Soviet transition economies. The results show that the data displays both strong asymmetry and high transition speed. Therefore, secondly, we propose a new panel unit root test where the alternative is stationary with asymmetric TAR adjustment, and provide their empirical power properties. Finally, we demonstrate that our newly proposed test is able to provide conclusive evidence in favor of the RIPH in contrast to the other panel unit root tests considered.
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    Article
    Citation Count: Omay, Tolga; Çorakçı, Ayşegül; Emirmahmutoglu, Furkan, "Real interest rates: nonlinearity and structural breaks", Empirical Economics, Empirical Economics, Empirical Economic, Vol.52, No.1, pp.283-307, (2017).
    Real interest rates: nonlinearity and structural breaks
    (Physica-Verlag Gmbh & Co, 2017) Omay, Tolga; Çorakçı, Ayşegül; Emirmahmutoğlu, Furkan; 103299
    Real interest rate is a crucial variable that determines the consumption, investment and saving behavior of individuals and thereby acts as a key policy tool that the central banks use to control the economy. Although many important theoretical models require the real interest rates to be stationary, the empirical evidence accumulated so far has not been able to provide conclusive evidence on the mean reverting dynamics of this variable. To resolve this puzzle we re-investigate the stochastic nature of the real interest rates by developing unit root tests for nonlinear heterogeneous panels where the alternative hypothesis allows for a smooth transition between deterministic linear trends around which stationary asymmetric adjustment may occur. When the newly developed panel unit root tests are applied to the real interest rates of the 17 OECD countries, we were able to uncover overwhelming empirical support in favor of mean reversion in the short-run and long-run real interest rates. Therefore, these results show that the conclusions drawn from a miss-specified test that ignores the presence of either nonlinearity, structural breaks or cross sectional dependence can give quite misleading results about the stochastic behavior of the real interest rates.