Browsing by Author "Gupta, Rangan"

Now showing 1 - 3 of 3

Citation - WoS: 6
Citation - Scopus: 4
Does Real Uk Gdp Have a Unit Root? Evidence From a Multi-Century Perspective
(Routledge Journals, Taylor & Francis Ltd, 2020) Canarella, Giorgio; Gupta, Rangan; Millera, Stephen M.; Omay, Tolga
We employ linear and nonlinear unit-root tests to examine the stationarity of five multi-century historical U.K. series of real output compiled by the Bank of England. Three series span 1270 to 2016 and two series span 1700 to 2016. These datasets represent the longest span of historical real output data available and, thus, provide the environment for which unit-root tests are most powerful. A key feature of our test is its simultaneous allowance for two types of nonlinearity: time-dependent (structural breaks) nonlinearity and state-dependent (asymmetric adjustment) nonlinearity. The key finding of the test, contrary to what other more popular nonlinear unit-root tests suggest, provides strong evidence that the main structure of the five series is a stationary process characterized by an asymmetric nonlinear adjustment and a permanent break affecting both the intercept and the trend. A major policy implication of this finding is fiscal and/or monetary stabilization policies have only temporary effects on the output levels of the United Kingdom.
Citation - WoS: 13
Citation - Scopus: 14
Inflation-Growth Nexus: Evidence From a Pooled Cce Multiple-Regime Panel Smooth Transition Model
(Physica-verlag Gmbh & Co, 2018) Omay, Tolga; van Eyden, Renee; Gupta, Rangan
This paper analyses the empirical relationship between inflation and growth using a panel data estimation technique, multiple-regime panel smooth transition regression, which takes into account the nonlinearities in the data. By using a panel data set for 10 countries in the Southern African Development Community permitting us to control for unobserved heterogeneity at both country and time levels, we find that a statistically significant negative relationship exists between inflation and growth for inflation rates above the critical threshold levels of 12 and 32% which are endogenously determined. Furthermore, we remedy the cross-section dependence with the common correlated effects estimator.
Citation - WoS: 6
Citation - Scopus: 4
Is real per capita state personal income stationary? New nonlinear, asymmetric panel-data evidence
(Wiley, 2020) Emirmahmutoglu, Furkan; Gupta, Rangan; Miller, Stephen M.; Omay, Tolga
This paper re-examines the stochastic properties of U.S. state real per capita personal income, using new panel unit-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel-data estimation. Including nonlinearity and asymmetry finds that 43 states exhibit stationary real per capita personal income whereas including only nonlinearity produces 42 states that exhibit stationarity. Stated differently, we find that two states exhibit nonstationary real per capita personal income when considering nonlinearity, asymmetry, and cross-sectional dependence.