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Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test

dc.contributor.authorEmirmahmutoğlu, Furkan
dc.contributor.authorOmay, Tolga
dc.contributor.authorID43754tr_TR
dc.date.accessioned2020-05-08T22:29:37Z
dc.date.available2020-05-08T22:29:37Z
dc.date.issued2014
dc.departmentÇankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümüen_US
dc.description.abstractIn 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.en_US
dc.description.publishedMonth6
dc.identifier.citationEmirmahmutoğlu, Furkan; Omay Tolga, "Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test" Economic Modelling, Vol.40, pp.184-190, (2013).en_US
dc.identifier.doi10.1016/j.econmod.2014.03.028
dc.identifier.endpage190en_US
dc.identifier.issn0264-9993
dc.identifier.startpage184en_US
dc.identifier.urihttp://hdl.handle.net/20.500.12416/3657
dc.identifier.volume40en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofEconomic Modellingen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectNonlinearen_US
dc.subjectPanel Unit Rooten_US
dc.subjectAsymmetryen_US
dc.subjectSieve Bootstrapen_US
dc.titleReexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root testtr_TR
dc.titleReexamining the Ppp Hypothesis: a Nonlinear Asymmetric Heterogeneous Panel Unit Root Testen_US
dc.typeArticleen_US
dspace.entity.typePublication

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