Bankacılık ve Sigortacılık Yayın Koleksiyonu

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Citation - WoS: 28
Citation - Scopus: 29
On Fractional Filtering Versus Conventional Filtering in Economics
(Elsevier, 2010) Baleanu, Dumitru; Nigmatullin, Raoul R.; Omay, Tolga
In this study, we compare the Hodrick-Prescott Filter technique with the Fractional filtering technique that has recently started to be used in various applied sciences like physics, engineering, and biology. We apply these filtering techniques to quarterly GDP data from Turkey for the period 1988:1-2003:2. The filtered series are analyzed using Minimum Square Error (MSE) and real life evidence. In the second part of the study, we use simulated data to analyze the statistical properties of the aforementioned filtering techniques. (C) 2009 Elsevier B.V. All rights reserved.
Citation - WoS: 5
Citation - Scopus: 7
Testing Stochastic Income Convergence in Seasonal Heterogeneous Panels
(Elsevier, 2010) Guler, Huseyin; Ucar, Nuri
In this paper we introduce a seasonal version of the Solow-Swan growth model and acquire an empirical income convergence equation. We take this equation as a basis to investigate whether income convergence exists in an OECD sample. To do this, we propose the test statistics under various asymptotic properties for some of the seasonal frequencies in the context of nonstationary heterogeneous panels. Critical values and moments of our statistics are generated and their finite sample performances are examined via Monte Carlo simulations. (C) 2009 Elsevier B.V. All rights reserved.