Browsing by Subject "Nonlinear Panel Unit Root"

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Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence

Çorakçı, Ayşegül; Emirmahmutoğlu, Furkan; Omay, Tolga (Springer, 2017-02)

This paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real ...
Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks

Omay, Tolga; Uçar, Nuri (2023-03)

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 ...

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