Browsing Ekonomi Bölümü Yayın Koleksiyonu by Subject "Unit Root"

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A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms

Omay, Tolga; Çorakçı, Ayşegül (2023)

In this study, we investigate the performance of different optimization algorithms in estimating the Markov switching (MS) deterministic components of the traditional ADF test. For this purpose, we consider Broyden, Fletcher, ...
High persistence and nonlinear behavior in financial variables: A more powerful unit root testing in the estar framework

Omay, Tolga; Çorakçı, Ayşegül; Hasdemir, Esra (2021-10-02)

In this study, we consider the hybrid nonlinear features of the Exponential Smooth Transition Autoregressive-Fractional Fourier Function (ESTAR-FFF) form unit root test. As is well known, when developing a unit root test ...

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