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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: 1Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels With Logistic Smooth Breaks(Mdpi, 2023) Omay, Tolga; Ucar, NuriIn this study, we investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. For this purpose, we propose a new unit root test for cross-sectionally dependent heterogeneous panels that allows for gradual structural breaks and symmetric nonlinear adjustment toward the equilibrium level. The alternative hypothesis stationary is obtained by symmetric adjustment due to exponential smooth transition autoregression (ESTAR) around a nonlinear trend. Moreover, we provide small sample properties extensively for the newly proposed test. Hence, this alternative hypothesis has been proven to characterize real exchange rate data (REER) correctly. Thus, the newly proposed tests provide an essential basis for modeling the REER series correctly. Finally, we also derive the approximate asymptotic distribution of the proposed tests using new techniques.
