23 results
Search Results
Now showing 1 - 10 of 23
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: 1Citation - Scopus: 2Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing(Springer, 2023) Omay, Tolga; Iren, PerihanThis study aims to show the consequences of a restrictive homogeneity assumption of frequency in heterogeneous panel unit root and cointegration testing with Flexible Fourier Form. For this purpose, we use a simple panel unit root and residual based cointegration test with Flexible Fourier Form in a heterogeneous frequency setting using a bootstrap algorithm. The power of the test statistics and empirical analysis results indicate that failing to take into account a heterogeneous frequency may lead to misleading inferences, thereby leading to misspecified tests and erroneous conclusions concerning the stochastic behavior of the data in the panel sample.Article Citation - WoS: 7Citation - Scopus: 6Oil and Stock Prices: New Evidence From a Time Varying Homogenous Panel Smooth Transitionvecmfor Seven Developing Countries(Wiley, 2022) Ceylan, Resat; Ivrendi, Mehmet; Shahbaz, Muhammed; Omay, TolgaThis paper investigates the relationship between international oil price and stock prices applying the time varying causality testing over the period of 2000(M1)-2017(M3). The panel unit root and panel cointegration tests considering cross-section dependence are also employed. A time varying panel smooth transition vector error correction (TV-PSTRVEC) model is a developed and estimated for testing the presence of non-linear short-run and long-run causality, and cointegrating relationship between stock and oil prices. The empirical findings indicate that short and long-run causalities between oil price and stock prices are time-dependent. Moreover, oil price cause stock prices in the long-run. In the short-run, neutral effect exists between oil price and stock prices. These two findings are evidence of a strong exogeneity of oil price in time-dependent regimes which is also supporting the recent arguments and empirical findings.Article Citation - WoS: 3Citation - Scopus: 3Comparison of the Performance of Structural Break Tests in Stationary and Nonstationary Series: a New Bootstrap Algorithm(Springer, 2024) Camalan, Ozge; Hasdemir, Esra; Omay, Tolga; Kucuker, Mustafa CanStructural breaks are considered as permanent changes in the series mainly because of shocks, policy changes, and global crises. Hence, making estimations by ignoring the presence of structural breaks may cause the biased parameter value. In this context, it is vital to identify the presence of the structural breaks and the break dates in the series to prevent misleading results. Accordingly, the first aim of this study is to compare the performance of unit root with structural break tests allowing a single break and multiple structural breaks. For this purpose, firstly, a Monte Carlo simulation study has been conducted through using a generated homoscedastic and stationary series in different sample sizes to evaluate the performances of these tests. As a result of the simulation study, Zivot and Andrews (J Bus Econ Stat 20(1):25-44, 1992) are the best-performing tests in capturing a single break. The most powerful tests for the multiple break setting are those developed by Kapetanios (J Time Ser Anal 26(1):123-133, 2005) and Perron (Palgrave Handb Econom 1:278-352, 2006). A new Bootstrap algorithm has been proposed along with the study's primary aim. This newly proposed Bootstrap algorithm calculates the optimal number of statistically significant structural breaks under more general assumptions. Therefore, it guarantees finding an accurate number of optimal breaks in real-world data. In the empirical part, structural breaks in the real interest rate data of the US and Australia resulting from policy changes have been examined. The results concluded that the bootstrap sequential break test is the best-performing approach due to the general assumption made to cover real-world data.Article Citation - WoS: 19Citation - Scopus: 12Using Double Frequency in Fourier Dickey-Fuller Unit Root Test(Springer, 2022) Cai, Yifei; Omay, TolgaWe 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 - WoS: 1Citation - Scopus: 2Convergence of Ghgs Emissions in the Long-Run: Aerosol Precursors, Reactive Gases and Aerosols-A Nonlinear Panel Approach(Springer, 2023) Romero-Avila, Diego; Omay, TolgaAnthropogenic 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 - WoS: 1Citation - Scopus: 1A Note on Co2 Emissions Using Two New Tests(Springer, 2023) Sephton, Peter; Omay, TolgaRecent research suggests that policies implementing structural change are required to alter the paths of carbon dioxide emissions in many nations. This note provides additional support for this view, allowing for smooth shifts in the deterministic part of the stochastic process. A Fourier wavelet unit root test indicates that in many countries, a temporary shock to emissions will have a permanent impact, whereas tests that examine fractional integration around a smooth break with de-trending indicate that a shock to emissions will have a transitory impact. Policies that induce structural changes are required to place emissions on a downward path.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: 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: 13Citation - Scopus: 14Inflation-Growth Nexus: Evidence From a Pooled Cce Multiple-Regime Panel Smooth Transition Model(Physica-verlag Gmbh & Co, 2018) Omay, Tolga; van Eyden, Renee; Gupta, RanganThis 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.
- «
- 1 (current)
- 2
- 3
- »