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Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test

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dc.contributor.author Emirmahmutoğlu, Furkan
dc.contributor.author Omay, Tolga
dc.date.accessioned 2020-05-08T22:29:37Z
dc.date.available 2020-05-08T22:29:37Z
dc.date.issued 2014-06
dc.identifier.citation Emirmahmutoğlu, Furkan; Omay Tolga, "Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test" Economic Modelling, Vol.40, pp.184-190, (2013). tr_TR
dc.identifier.issn 0264-9993
dc.identifier.uri http://hdl.handle.net/20.500.12416/3657
dc.description.abstract In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP hypothesis therefore, should also take into account this asymmetry inherent in the real exchange rate. Different unit root tests that consider the presence of these data features have been developed in the time series literature. However, a true attempt to test the PPP hypothesis should take a panel data approach. To this end, we propose a nonlinear heterogeneous panel unit root test where the alternative hypothesis allows for symmetric or asymmetric exponential smooth transition autoregressive nonlinearity and provide its finite sample properties. We apply our test to the real exchange rates of the 15 European Union countries against the US dollar. While the results of the linear and symmetric nonlinear heterogeneous panel unit root tests are against the PPP hypothesis, the asymmetric nonlinear heterogeneous panel test that we propose gives support for the PPP hypothesis as expected. Therefore, the conclusions drawn from the linear panel unit root tests or the nonlinear panel unit root tests that do not take asymmetry into account might be misleading. tr_TR
dc.language.iso eng tr_TR
dc.publisher Elsevier tr_TR
dc.relation.isversionof 10.1016/j.econmod.2014.03.028 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Nonlinear tr_TR
dc.subject Panel Unit Root tr_TR
dc.subject Asymmetry tr_TR
dc.subject Sieve Bootstrap tr_TR
dc.title Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test tr_TR
dc.type article tr_TR
dc.relation.journal Economic Modelling tr_TR
dc.contributor.authorID 43754 tr_TR
dc.identifier.volume 40 tr_TR
dc.identifier.startpage 184 tr_TR
dc.identifier.endpage 190 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü tr_TR


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