article.page.titleprefix Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks
| dc.contributor.author | Omay, Tolga | |
| dc.contributor.author | Uçar, Nuri | |
| dc.date.accessioned | 2024-01-21T11:06:55Z | |
| dc.date.available | 2024-01-21T11:06:55Z | |
| dc.date.issued | 2023-03-18 | |
| dc.description | Open Access; Published by Symmetry; https://doi.org/10.3390/sym15030747; Tolga Omay, Department of Economics, Atilim University, Kızılca¸sar Mahallesi, ˙Incek, 06830 Ankara, Turkey; Nuri Ucar, Banking and Insurance Program, Cankaya University, Eskisehir Yolu, Yapracık, 06790 Ankara, Turkey. | |
| dc.description.abstract | In 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. | |
| dc.identifier.citation | http://hdl.handle.net/20.500.14411/1979 | |
| dc.identifier.issn | 2073-8994 | |
| dc.identifier.uri | https://doi.org/10.3390/sym15030747 | |
| dc.language.iso | en | |
| dc.publisher | Symmetry | |
| dc.relation.ispartofseries | 15; 747 | |
| dc.subject | Real exchange rate data; smooth break; nonlinear panel unit root; cross-section dependency; factor model; CCE; sieve bootstrap; PPP | |
| dc.title | Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks | |
| dc.type | Article | |
| dspace.entity.type | Article |