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Author: Emirmahmutoglu, FurkanSubject: flexible Fourier form

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Now showing 1 - 2 of 2
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    Article
    Citation - WoS: 35
    Citation - Scopus: 36
    Structural Break, Nonlinearity and Asymmetry: a Re-Examination of Ppp Proposition
    (Routledge Journals, Taylor & Francis Ltd, 2018) Omay, Tolga; Emirmahmutoglu, Furkan; Hasanov, Mubariz
    In 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.
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    Article
    Citation - WoS: 14
    Citation - Scopus: 16
    Smooth Break Detection and De-Trending in Unit Root Testing
    (Mdpi, 2021) Emirmahmutoglu, Furkan; Omay, Tolga; Shahzad, Syed Jawad Hussain; Nor, Safwan Mohd
    This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey-Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.