Bankacılık ve Finans Bölümü Yayın Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/400

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Author: search.filters.author.Omay, TolgaPublication Index: search.filters.publicationIndex.Scopus

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  • Article
    Citation - WoS: 2
    Citation - Scopus: 2
    Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels With Logistic Smooth Breaks
    (Mdpi, 2023) Omay, Tolga; Ucar, Nuri
    In this study, we investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. For this purpose, we propose a new unit root test for cross-sectionally dependent heterogeneous panels that allows for gradual structural breaks and symmetric nonlinear adjustment toward the equilibrium level. The alternative hypothesis stationary is obtained by symmetric adjustment due to exponential smooth transition autoregression (ESTAR) around a nonlinear trend. Moreover, we provide small sample properties extensively for the newly proposed test. Hence, this alternative hypothesis has been proven to characterize real exchange rate data (REER) correctly. Thus, the newly proposed tests provide an essential basis for modeling the REER series correctly. Finally, we also derive the approximate asymptotic distribution of the proposed tests using new techniques.
  • Article
    Citation - WoS: 11
    Citation - Scopus: 12
    Energy Consumption and Growth: New Evidence From a Non-Linear Panel and a Sample of Developing Countries
    (World Scientific Publ Co Pte Ltd, 2015) Apergis, Nicholas; Ozcelebi, Hulya; Omay, Tolga
    This paper investigates the relationship between economic growth and energy consumption through non-linear causality tests. Eight developing countries from Europe and Central Asia spanning the period 1993 to 2008 are selected for the purpose of panel empirical analysis. Panel unit root and panel cointegration tests with and without considering cross section dependency (CD) problems are implemented. Next, linear panel cointegration tests are employed and, finally, a two-regime Dynamic Panel Smooth Transition Vector Error Correction (PSTRVEC) model is estimated for testing the presence of non-linear short-and long-run causality. To this end, a new estimator, called the Dynamic Non-linear Pooled Common Correlated Effect Estimator (DNPCCEE) is proposed. The empirical findings indicate that short and long-run causalities are regime-dependent.
  • Article
    Citation - WoS: 16
    Citation - Scopus: 18
    An Empirical Examination of the Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests for Panel Cointegration
    (Elsevier Science Bv, 2015) Yuksel, Aydin; Omay, Tolga; Yuksel, Asli
    This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, provide strong support for the existence of cointegration between stock and goods prices. Moreover, further analysis cannot reject the hypothesis that the cointegration relation is linear. Finally, our Fisher coefficient estimates are in the range between 0.68 and 1.27 and give support to the generalized Fisher hypothesis. (C) 2014 Elsevier B.V. All rights reserved.
  • Article
    Citation - WoS: 96
    Citation - Scopus: 96
    Fractional Frequency Flexible Fourier Form To Approximate Smooth Breaks in Unit Root Testing
    (Elsevier Science Sa, 2015) Omay, Tolga
    In this study, a Fractional Frequency Flexible Fourier Form DF-type unit root test is proposed. The small sample properties of the proposed test are found to be better than that of the integer frequency counterpart. (C) 2015 Elsevier B.V. All rights reserved.
  • Article
    Citation - WoS: 54
    Citation - Scopus: 59
    Reexamining the Ppp Hypothesis: a Nonlinear Asymmetric Heterogeneous Panel Unit Root Test
    (Elsevier, 2014) Omay, Tolga; Emirmahmutoglu, Furkan
    In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP hypothesis therefore, should also take into account this asymmetry inherent in the real exchange rate. Different unit root tests that consider the presence of these data features have been developed in the time series literature. However, a true attempt to test the PPP hypothesis should take a panel data approach. To this end, we propose a nonlinear heterogeneous panel unit root test where the alternative hypothesis allows for symmetric or asymmetric exponential smooth transition autoregressive nonlinearity and provide its finite sample properties. We apply our test to the real exchange rates of the 15 European Union countries against the US dollar. While the results of the linear and symmetric nonlinear heterogeneous panel unit root tests are against the PPP hypothesis, the asymmetric nonlinear heterogeneous panel test that we propose gives support for the PPP hypothesis as expected. Therefore, the conclusions drawn from the linear panel unit root tests or the nonlinear panel unit root tests that do not take asymmetry into account might be misleading. (C) 2014 Elsevier B.V. All rights reserved.