8 results
Search Results
Now showing 1 - 8 of 8
Article Citation - WoS: 11Testing the Hysteresis Effect in the Us State-Level Unemployment Series(Routledge Journals, Taylor & Francis Ltd, 2020) Omay, Tolga; Ozcan, Burcu; Shahbaz, MuhammedThis paper re-examines the stochastic time series behaviour of the monthly unemployment rate in 50 states of the United States (US) for the period 1976-2017 using a number of state-of-the-art unit root tests. The new developments incorporate structural break, nonlinearity, asymmetry, and cross-sectional correlation within panel-data estimation including the use of a sequential panel selection method. While not previously considered, sequential panel selection enabled us to determine and separate the stationary and nonstationary series in the sample. The empirical findings are in support of the stationarity of unemployment rate in 47 states. The findings confirm a natural rate hypothesis for the labour markets in the most US states, indicating that labour market shocks have solely temporary effects on state-level unemployment. This empirical study provides significant state-specific policy implications.Article Citation - WoS: 10Citation - Scopus: 10Comparison of Optimization Algorithms for Selecting the Fractional Frequency in Fourier Form Unit Root Tests(Routledge Journals, Taylor & Francis Ltd, 2021) Omay, Tolga; Emirmahmutoglu, Furkan; Hussain Shahzad, Syed JawadWe 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.Article Citation - WoS: 9Citation - Scopus: 9Market Development and Market Efficiency: Evidence Based on Nonlinear Panel Unit Root Tests(Routledge Journals, Taylor & Francis Ltd, 2019) Aktan, Ceyda; Iren, Perihan; Omay, TolgaThis 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.Article Citation - WoS: 6Citation - Scopus: 4Does 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, TolgaWe 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.Article Citation - WoS: 35Citation - Scopus: 36Structural Break, Nonlinearity and Asymmetry: a Re-Examination of Ppp Proposition(Routledge Journals, Taylor & Francis Ltd, 2018) Omay, Tolga; Emirmahmutoglu, Furkan; Hasanov, MubarizIn 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.Article Can Governments Sleep More Soundly When Holding International Reserves? a Banking and Financial Vulnerabilities Perspective*(Routledge Journals, Taylor & Francis Ltd, 2024) Sallenave, Audrey; Allegret, Jean-Pierre; Omay, TolgaWe use a sample of 40 developing and emerging countries over the period 1995-2015 to assess the effectiveness of international reserve holding as a crisis mitigator. We test the relevance of the reserve accumulation decreasing returns assumption by estimating the most recent version of the PSTR model. We find that increasing stocks of international reserves allows domestic authorities to mitigate the negative impacts of financial and banking vulnerabilities on GDP growth rates leading to reject the decreasing returns assumption. This evidence is robust to sensitivity checks.Article Citation - WoS: 19Citation - Scopus: 17Testing Ppp Hypothesis Under Temporary Structural Breaks and Asymmetric Dynamic Adjustments(Routledge Journals, Taylor & Francis Ltd, 2020) Omay, Tolga; Shahbaz, Muhammed; Hasanov, MubarizWe test the empirical validity of the PPP proposition under temporary structural breaks and dynamic nonlinear adjustments. Although several testing procedures have recently been proposed in the existing literature to investigate stochastic properties of the series under gradual breaks and nonlinear adjustments, none of these tests are compatible with the PPP proposition. Therefore, we propose new testing procedures that restrict the break to be temporary while simultaneously allowing for asymmetric dynamic nonlinear adjustment towards equilibrium. Using these newly proposed tests, we test stationarity of real exchange rate of 24 OECD countries vis-a-vis USA, and find support in favour of PPP proposition in majority of the countries.Article Citation - WoS: 3Citation - Scopus: 9Regime Dependent Causality Relationship Between Energy Consumption and Gdp Growth: Evidence From Oecd Countries(Routledge Journals, Taylor & Francis Ltd, 2021) Emirmahmutoglu, Furkan; Denaux, Zulal; Omay, Tolga; Tiwari, Aviral KumarThis 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.
