Ekonomi Bölümü Yayın Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/818
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Article Citation - WoS: 25Citation - Scopus: 23Real Interest Rates: Nonlinearity and Structural Breaks(Physica-verlag Gmbh & Co, 2017) Corakci, Aysegul; Emirmahmutoglu, Furkan; Omay, Tolga; 103299; 03.03. İktisat; 08.02. Çankaya Meslek Yüksekokulu; 03. İktisadi ve İdari Birimler Fakültesi; 08. Meslek Yüksekokulları; 01. Çankaya ÜniversitesiReal 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.Article Citation - WoS: 19Citation - Scopus: 21Regression Analysis With a Dtochastic Design Variable(Wiley, 2006) Sazak, HS; Tiku, ML; Islam, MQ; 01. Çankaya ÜniversitesiIn regression models, the design variable has primarily been treated as a nonstochastic variable. In numerous situations, however, the design variable is stochastic. The estimation and hypothesis testing problems in such situations are considered. Real life examples are given.Article Citation - WoS: 1Citation - Scopus: 1A Unit Root Test With Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms(Springer, 2024) Corakci, Aysegul; Omay, Tolga; 103299; 08.02. Çankaya Meslek Yüksekokulu; 03.03. İktisat; 03. İktisadi ve İdari Birimler Fakültesi; 08. Meslek Yüksekokulları; 01. Çankaya ÜniversitesiIn 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.
