Omay, Tolga
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T.,Omay
Omay, Tolga
O., Tolga
Tolga, Omay
Omay,T.
O.,Tolga
T., Omay
Omay T.
Omay, Tolga
O., Tolga
Tolga, Omay
Omay,T.
O.,Tolga
T., Omay
Omay T.
Job Title
Profesor Doktor
Email Address
tolga.omay@atilim.edu.tr
ORCID ID
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Google Scholar ID
WoS Researcher ID
Scholarly Output
56
Articles
51
Citation Count
309
Supervised Theses
2
56 results
Scholarly Output Search Results
Now showing 1 - 10 of 56
Article Citation Count: 1A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms(Springer, 2023) Omay, Tolga; Corakci, Aysegul; EconomicsIn this study, we investigate the performance of different optimization algorithms in estimating the Markov switching (MS) deterministic components of the traditional ADF test. For this purpose, we consider Broyden, Fletcher, Goldfarb, and Shanno (BFGS), Berndt, Hall, Hall, Hausman (BHHH), Simplex, Genetic, and Expectation-Maximization (EM) algorithms. The simulation studies show that the Simplex method has significant advantages over the other commonly used hill-climbing methods and EM. It gives unbiased estimates of the MS deterministic components of the ADF unit root test and delivers good size and power properties. When Hamilton's (Econometrica 57:357-384, 1989) MS model is re-evaluated in conjunction with the alternative algorithms, we furthermore show that Simplex converges to the global optima in stationary MS models with remarkably high precision and even when convergence criterion is raised, or initial values are altered. These advantages of the Simplex routine in MS models allow us to contribute to the current literature. First, we produce the exact critical values of the generalized ADF unit root test with MS breaks in trends. Second, we derive the asymptotic distribution of this test and provide its invariance feature.Article Citation Count: 17Using Double Frequency in Fourier Dickey-Fuller Unit Root Test(Springer, 2022) Cai, Yifei; Omay, Tolga; EconomicsWe propose a double frequency fourier Dickey-Fuller (DF) unit root test. The asymptotic theory of the newly proposed test is first presented in this study. We conduct a series of simulations which suggest the proposed test statistic has correct size performance and gains more power when breaks are located at the beginning and end of the sample and in smooth type. In empirical analysis, we utilize the new test to examine the unit root hypothesis of relative commodity prices measured by Harvey et al. (Rev Econ Stat 92(2):367-377, 2010). The empirical results show that more relative commodity prices are stationary around a deterministic trend generated from double frequency Fourier function.Article Citation Count: 2Are CO2 Emissions Stationary After All? New Evidence from Nonlinear Unit Root Tests(Springer, 2022) Romero-Avila, Diego; Omay, Tolga; EconomicsThis study applies a large battery of state-of-the-art nonlinear unit root tests to examine the stationarity properties of carbon dioxide emission series for 28 industrialized countries, five BRICS and seven transition economies over a very long horizon, in some cases over more than two and a half centuries. The application of time-dependent and state-dependent nonlinear unit root tests separately provides mixed evidence regarding the time-series properties of CO2 emissions and a high degree of variability across the different tests. However, the use of hybrid nonlinear unit root tests, combining the presence of structural breaks with symmetric or asymmetric ESTAR adjustment, leads to the rejection of the unit root hypothesis in each of the countries under study with at least one of the hybrid tests. This has important climate policy implications.Article Citation Count: 4Psikolojik Sermayenin Bireysel Performans Üzerindeki Etkisinde Birey-Örgüt Uyumunun Aracılık Rolü: Vakıf Üniversitelerindeki Öğretim Üyelerine Yönelik Bir Araştırma(2019) Özkan, Osman Seray; Omay, Tolga; EconomicsAmaç – Bu araştırma, psikolojik sermayenin bireysel performans üzerindeki etkisini ve birey-örgüt uyumunun bu iki değişken arasındaki aracılık rolünü tespit etmek amacıyla gerçekleştirilmiştir.Yöntem – Araştırmanın örneklemini, Türkiye’deki vakıf üniversitelerinde görev yapmakta olan 433 akademik personel oluşturmuştur. Anket formu, mail yoluyla ve online anket sistemi aracılığıyla gönderilmiştir. Elde edilen veriler üzerinde frekans analizi, güvenirlik analizi, korelasyon analizi, açımlayıcı ve doğrulayıcı faktör analizi ile yapısal eşitlik modellemesi kullanılmıştır.Bulgular – Araştırma sonuçları, psikolojik sermayenin birey-örgüt uyumu ve bireysel performans ile pozitif yönde ilişkisi olduğunu göstermiştir. Ancak araştırmanın ana hipotezi olarak belirlenen, psikolojik sermaye ile bireysel performans arasındaki ilişkide birey-örgüt uyumunun aracılık rolü desteklenmemiştir.Tartışma – Bu sonuçlara göre; psikolojik sermayesi yüksek olan birey, pozitif çıktıların elde edilmesi yönünde eğilimli hale gelerek çalışma isteğini artırmakta ve bu da süreç içerisinde daha yüksek performans sergilemesine neden olmaktadır. Ayrıca psikolojik sermayesi yüksek olan bireyin çalıştığı örgütle özdeşleşmesi ve yaptığı iş ile olan uyumunun artması neticesinde, örgütün genel başarı düzeyi ve verimliliği artmaktadır. Örgütün amaçları ve değerleri ile özdeşleşen bireyin performansının artması neticesinde, kişisel ve örgütsel hedeflere ulaşma düzeyi de yükselmektedir. Bu araştırmanın, vakıf üniversitelerindeki akademisyenler hakkında yapılacak çalışmalara katkı sağlayacağı ve psikolojik sermaye, bireysel performans ile birey-örgüt uyumu düzeyleri hakkında araştırmacılara ve uygulayıcılara fikir vereceği değerlendirilmektedir.Article Citation Count: 1Convergence of GHGs emissions in the long-run: aerosol precursors, reactive gases and aerosols-a nonlinear panel approach(Springer, 2023) Romero-Avila, Diego; Omay, Tolga; EconomicsAnthropogenic emissions of reactive gases, aerosols and aerosol precursor compounds are responsible for the ozone hole, global warming and climate change, which have altered ecosystems and worsened human health. Environmental authorities worldwide have responded to these climate challenges through the 2030 Agenda for Sustainable Development. In this context, it is key to ascertain empirically whether emission levels are converging among the countries forming the industrialized world. In doing so, we focus on 23 industrialized countries using a novel dataset with ten series of annual estimates of anthropogenic emissions that include aerosols, aerosol precursor and reactive compounds, and carbon dioxide over the 1820-2018 period. We apply four state-of-the-art panel unit root tests that allow for several forms of time-dependent and state-dependent nonlinearity. Our evidence supports stochastic convergence following a linear process for carbon dioxide, whereas the adjustment is nonlinear for black carbon, carbon monoxide, methane, non-methane volatile organic compounds, nitrous oxide, nitrogen oxides and sulfur dioxide. In contrast, ammonia and organic carbon emissions appear to diverge. As for deterministic convergence, carbon dioxide converges linearly, while black carbon, carbon monoxide, nitrogen oxides, non-methane volatile organic compounds and sulfur dioxide adjust nonlinearly. Our results carry important policy implications concerning the achievement of SDG13 of the global 2030 Agenda for Sustainable Development, which appears to be feasible for the converging compounds.Article Citation Count: 2A long-run convergence analysis of aerosol precursors, reactive gases, and aerosols in the BRICS and Indonesia: is a global emissions abatement agenda supported?(Springer Heidelberg, 2023) Romero-Avila, Diego; Omay, Tolga; EconomicsThis article examines the hypothesis of deterministic emissions convergence for a panel of the BRICS and Indonesia to advanced countries' emissions levels as well as to Sweden (which is a country that has clearly gone through decoupling) using a novel dataset with ten series of annual estimates of anthropogenic emissions comprising aerosols, aerosol precursor and reactive compounds, and carbon dioxide from 1820 to 2018. For that purpose, we employ four novel panel unit root tests allowing for several forms of time-dependent and state-dependent nonlinearity. The evidence supports deterministic convergence following a linear process for carbon dioxide, whereas the adjustment is asymmetric and nonlinear for carbon monoxide. Methane and nitrogen oxides exhibit logistic smooth transition converging dynamics. In contrast, black carbon, ammonia, nitrous oxide, non-methane volatile organic compounds, organic carbon, and sulfur dioxide emissions diverge. These results have implications for the abatement of greenhouse gases emissions at the global level, given the high share of emissions of the BRICS.Article Citation Count: 11Inflation-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; EconomicsThis 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.Article Citation Count: 3Hysteresis and stochastic convergence in Eurozone unemployment rates: evidence from panel unit roots with smooth breaks and asymmetric dynamics(inst Badan Gospodarczych, 2022) Corakci, Aysegul; Omay, Tolga; Hasanov, Mubariz; EconomicsResearch background: Studying the dynamic characteristics of unemployment rate is crucial for both economic theory and macroeconomic policies. Despite numerous research, the empirical evidence about stochastic behaviour of the unemployment rate remains disputable. It has been widely agreed that most economic variables, including unemployment rates, are characterized by both structural breaks and nonlinearities. However, a little work is done to examine both features simultaneously. Purpose of the article: In this paper, we analyse the stationarity properties of unemployment rates of Euro area member countries. Also, we aim to test stochastic convergence of unemployment rates among member countries. Our empirical procedures explicitly allow for simultaneous gradual breaks and nonlinearities in the series. Methods: This paper develops a new unit root test procedure for panel data, allowing for both gradual structural breaks and asymmetric adjustment towards equilibrium. We carry out Monte Carlo simulations to examine small sample performance of the proposed test procedure and compare it to the existing test procedures. We apply the newly proposed test to examine the stochastic properties of the unemployment rates of Euro-member countries as well as relative unemployment rates vis-a-vis the Eurozone unemployment rate. Findings & value added: We find that the newly developed test procedure outperforms existing tests in highly nonlinear settings. Also, these tests reject the null hypothesis of unit root in more cases when compared to the existing tests. We find stationarity in the series only after allowing for structural breaks in the data generating process. Allowing for nonlinear and asymmetric adjustment in addition to gradual breaks provides evidence of stationarity in more cases. Furthermore, our results suggest that relative unemployment rate series are stationary, providing evidence in favour of stochastic convergence in unemployment rates. Overall, our results imply a limited room for coordinated economic policy to fight unemployment in the Eurozone.Article Citation Count: 18Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors(Springer, 2018) Omay, Tolga; Hasanov, Mubariz; Shin, Yongcheol; EconomicsWe develop the extended unit root testing procedure for dynamic panels characterised by slowly moving trends (SMT) and cross-section dependence (CSD). We allow SMT to follow the smooth logistic transition function and the components error terms to contain the unobserved common factors. We propose the two panel unit root test statistics, one derived by the extended common correlated effects (CCE) estimator and the other based on the Sieve bootstrap. We have conducted extensive simulation exercises and document that the failure to take into account SMT and CSD may lead to misleading inference. On the other hand, we find that both bootstrap and CCE-based tests maintain good power properties in small samples in the presence SMT and CSD. We apply our proposed tests to real interest rates for 17 OECD countries and find overwhelming evidence in favour of the Fisher hypothesis.Article Citation Count: 8Market development and market efficiency: evidence based on nonlinear panel unit root tests(Routledge Journals, Taylor & Francis Ltd, 2019) Aktan, Ceyda; Iren, Perihan; Omay, Tolga; EconomicsThis study tests the weak form market efficiency of 32 European stock markets. Utilizing monthly data from June 2006 to June 2017, six different, newly developed nonlinear panel root tests were applied in three different groups of European markets: Frontier, Emerging and Developed. The results show that there is a meaningful relationship between different levels of economic development and the weak form market efficiency. Considering the nonlinear structure of the stock market indices, use of linear models might lead to wrong conclusions regarding market efficiency. Using several nonlinear panel root tests, the results of this study shed more light on the true data generating process of the stock market indices and more appropriately model market efficiency.
