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Meslek Yüksek Okulu

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    Article
    Citation - WoS: 28
    Citation - Scopus: 29
    On fractional filtering versus conventional filtering in economics
    (Elsevier, 2010) Omay, Tolga; Nigmatullin, Raoul R.; Omay, Tolga; Baleanu, Dumitru; Baleanu, Dumitru; Çankaya Meslek Yüksekokulu; Matematik
    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.
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    Article
    Citation - WoS: 65
    Citation - Scopus: 80
    Re-examining the threshold effects in the inflation-growth nexus with cross-sectionally dependent non-linear panel: Evidence from six industrialized economies
    (Elsevier Science Bv, 2010) Omay, Tolga; Omay, Tolga; Kan, Elif Oeznur; Çankaya Meslek Yüksekokulu
    This paper analyzes the empirical relationship between inflation and output growth using a novel panel data estimation technique, Panel Smooth Transition Regression (PSTR) model, which takes account of the non-linearities in the data. By using a panel data set for 6 industrialized countries that enable us to control for unobserved heterogeneity at both country and time levels, we find that there exists a statistically significant negative relationship between inflation and growth for the inflation rates above the critical threshold level of 2.52%, which is endogenously determined. Furthermore, we also control cross-section dependency by using the CD test modified to non-linear context and remedy cross-section dependency with Seemingly Unrelated Regression Equations through Generalized Least Squares (SURE-GLS) and newly proposed Common Correlated Effects (CCE) estimation techniques. We find that these methods change the critical threshold value slightly. The estimated threshold values from these estimation methods are 3.18% and 2.42%, respectively. (C) 2010 Elsevier B.V. All rights reserved.
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    Article
    Citation - WoS: 5
    Citation - Scopus: 7
    Testing Stochastic Income Convergence In Seasonal Heterogeneous Panels
    (Elsevier, 2010) Ucar, Nuri; Uçar, Nuri; Guler, Huseyin; 189073; Bankacılık ve Finans
    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.
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    Conference Object
    Citation - WoS: 19
    Citation - Scopus: 20
    The relationship between inflation, output growth, and their uncertainties: evidence from selected CEE countries
    (M E Sharpe inc, 2011) Hasanov, Mubariz; Omay, Tolga; Omay, Tolga; Çankaya Meslek Yüksekokulu
    In this paper, we examine causal relationships between inflation rate, output growth rate, inflation uncertainty, and output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH model that includes output growth and inflation rates for each country. Then we use conditional standard deviations of inflation and output to proxy nominal and real uncertainty, respectively, and perform Granger causality tests. Our results suggest that inflation rate induces uncertainty about both inflation rate and output growth rate, which is detrimental to real economic activity. At the same time, we find that output growth rate reduces macroeconomic uncertainty in some countries. In addition, we also examine and discuss causal relationships between the remaining variables.