1,720,975 research outputs found
Nonlinear Error Correction Based Cointegration Test in Panel Data
No full textEmirmahmutoglu, Furkan/0000-0001-7358-3567We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties. (C) 2017 Elsevier B.V. All rights reserved.Turkish Scientific and Technological Research Council [2219]We acknowledge the financial support provided by the Turkish Scientific and Technological Research Council which enabled Furkan Emirmahutoglu to visit Valdosta State University to complete his research project (program code: 2219). We also thank an anonymous referee for the valuable comments
Structural Break, Nonlinearity and Asymmetry: a Re-Examination of Ppp Proposition
No full textHasanov, Mübariz/0000-0003-0216-9531; Hasanov, Mubariz/0000-0003-0216-9531; Emirmahmutoglu, Furkan/0000-0001-7358-3567In this study, we examine the validity of the PPP proposition for 28 European countries. For this purpose, we propose a new unit root test procedure that allows for both gradual structural breaks and asymmetric nonlinear adjustment towards the equilibrium level. Small-sample properties of the new tests are examined through Monte-Carlo simulations. The simulation results suggest that the new tests have satisfactory size and power properties. We then apply these new tests along with other unit root tests to examine stationarity properties of real exchange rate series of the sample countries. Our tests reject the null of unit root in more cases when compared to alternative tests. Overall, we find that the PPP proposition holds in majority of the European countries examined in this article
Regime Dependent Causality Relationship Between Energy Consumption and Gdp Growth: Evidence From Oecd Countries
No full textEmirmahmutoglu, Furkan/0000-0001-7358-3567; Tiwari, Aviral Kumar/0000-0002-1822-9263This study empirically investigates the energy consumption-GDP growth nexus for the period from 1971 to 2016 for 26 OECD countries. The prevailing studies in the literature use limited econometric methodologies, which may wrongly model the underlying relationship and lead to misleading policy conclusions. Our study utilizes the newest econometric methods to reveal the nonlinear relationships in the long-run. Furthermore, to capture the asymmetric behaviour of regime changes, four residual-based nonlinear cointegration tests are implemented. Finally, a two-regime TAR type of panel threshold VECM model (PTVAR) is estimated for testing the presence of nonlinear short- and long-run causality. Our findings indicate a state-dependent causality between energy consumption and GDP growth
Structural break, nonlinearity and asymmetry: a re-examination of PPP proposition
No full textEmirmahmutoglu, Furkan/0000-0001-7358-3567; Hasanov, Mübariz/0000-0003-0216-9531; Hasanov, Mubariz/0000-0003-0216-9531In this study, we examine the validity of the PPP proposition for 28 European countries. For this purpose, we propose a new unit root test procedure that allows for both gradual structural breaks and asymmetric nonlinear adjustment towards the equilibrium level. Small-sample properties of the new tests are examined through Monte-Carlo simulations. The simulation results suggest that the new tests have satisfactory size and power properties. We then apply these new tests along with other unit root tests to examine stationarity properties of real exchange rate series of the sample countries. Our tests reject the null of unit root in more cases when compared to alternative tests. Overall, we find that the PPP proposition holds in majority of the European countries examined in this article
Comparison of Optimization Algorithms for Selecting the Fractional Frequency in Fourier Form Unit Root Tests
No full textShahzad, Syed Jawad Hussain/0000-0003-3511-6057; Emirmahmutoglu, Furkan/0000-0001-7358-3567We compare the performance of unit root tests which include flexible Fourier trends in their testing processes. The algorithms considered are those of Broyden, Fletcher, Goldfarb and Shanno (BFGS), Berndt, Hall, Hall and Hausman (BHHH), Simplex, Genetic and grid search (GS). The simulation results indicate that derivative-free methods, such as Genetic and Simplex, have advantages over hill-climbing methods, such as BFGS and BHHH in providing accurate fractional frequencies for fractional frequency flexible Fourier form (FFFFF) unit root test. When the parameters are estimated under the alternative hypothesis of the FFFFF type of unit root test, the grid search and derivative-free methods provide unbiased and efficient estimations. We also provide the asymptotic distribution of the FFFFF unit root test. We extend the FFFFF unit root test to a panel version in order to increase the power of the test. Finally, the empirical analyses of healthcare convergence show that derivative-free methods, hill climbing and extensive grid searches can be used interchangeably. However, for big data and accurate estimation of the frequency parameters, the Simplex methodology using the bootstrap process is preferred
Comparison of optimization algorithms for selecting the fractional frequency in Fourier form unit root tests
No full textWe compare the performance of unit root tests which include flexible Fourier trends in their testing processes. The algorithms considered are those of Broyden, Fletcher, Goldfarb and Shanno (BFGS), Berndt, Hall, Hall and Hausman (BHHH), Simplex, Genetic and grid search (GS). The simulation results indicate that derivative-free methods, such as Genetic and Simplex, have advantages over hill-climbing methods, such as BFGS and BHHH in providing accurate fractional frequencies for fractional frequency flexible Fourier form (FFFFF) unit root test. When the parameters are estimated under the alternative hypothesis of the FFFFF type of unit root test, the grid search and derivative-free methods provide unbiased and efficient estimations. We also provide the asymptotic distribution of the FFFFF unit root test. We extend the FFFFF unit root test to a panel version in order to increase the power of the test. Finally, the empirical analyses of Covid19 unit root test show that derivative-free methods, are better than other methods. However, for big data and accurate estimation of the frequency parameters, the Simplex methodology using the bootstrap process is preferred
Testing for Granger causality in heterogeneous mixed panels
No full textIn this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investigating the export led growth hypothesis in a panel data of twenty OECD countries.Granger causality Meta analysis Mixed panels Cross-sectional dependency
The Comparison of Power and Optimization Algorithms on Unit Root Testing with Smooth Transition
No full textThe aim of this study is to search for a better optimization algorithm in applying unit root tests that inherit nonlinear models in the testing process. The algorithms analyzed include Broyden, Fletcher, Goldfarb and Shanno (BFGS), Gauss-Jordan, Simplex, Genetic, sequential quadratic programming and extensive grid-search. The simulation results indicate that the derivative free methods, such as Genetic and Simplex, have advantages over hill climbing methods, such as BFGS and Gauss-Jordan, in obtaining accurate critical values for the Leybourne et al. (J Time Ser Anal 19:83-97, 1998) (LNV) and Sollis (J Time Ser Anal 25:409-417, 2004) unit root tests. Besides, we extend our analysis by including exponential smooth transition type of trend function in to unit root testing which is not used in the previous literature. The same result also holds true for our newly proposed unit root test with exponential smooth transition function type of trend model. Furthermore, we realize that there is a gap in the unit root studies that the newly proposed tests are not analyzed between each other's data generating process (DGP). Hence, we investigate the power comparison of different nonlinear unit root test under various DGP including nonlinear unit root tests and find interesting results such as LNV type unit root test can manage to capture state dependent nonlinearity when the transition speed is high. Finally, we have used the Australian real interest rate parity hypothesis to empirically verify the results that we have obtained in the simulation studies
Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test
No full textIn 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
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