Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks
dc.contributor.author | Omay, Tolga | |
dc.contributor.author | Uçar, Nuri | |
dc.contributor.authorID | 189073 | tr_TR |
dc.date.accessioned | 2024-01-26T07:57:48Z | |
dc.date.available | 2024-01-26T07:57:48Z | |
dc.date.issued | 2023 | |
dc.department | Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü | en_US |
dc.description.abstract | 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. | en_US |
dc.description.publishedMonth | 3 | |
dc.identifier.citation | Omay, T.; Uçar, N. (2023). "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks", Symmetry, Vol.15. No.3. | en_US |
dc.identifier.doi | 10.3390/sym15030747 | |
dc.identifier.issn | 20738994 | |
dc.identifier.issue | 3 | en_US |
dc.identifier.uri | http://hdl.handle.net/20.500.12416/7013 | |
dc.identifier.volume | 15 | en_US |
dc.language.iso | en | en_US |
dc.relation.ispartof | Symmetry | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | CCE | en_US |
dc.subject | Cross-Section Dependency | en_US |
dc.subject | Factor Model | en_US |
dc.subject | Nonlinear Panel Unit Root | en_US |
dc.subject | PPP | en_US |
dc.subject | Real Exchange Rate Data | en_US |
dc.subject | Sieve Bootstrap | en_US |
dc.subject | Smooth Break | en_US |
dc.title | Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks | tr_TR |
dc.title | Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels With Logistic Smooth Breaks | en_US |
dc.type | Article | en_US |
dspace.entity.type | Publication |