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Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rate by a Multi-Regime Logistic Smooth Transition Auto Regression (mr-lstar), allowing for both estar-type and setar-type dynamics. This choice is motivated by the fact that even the theoretical models, which predict a smooth behavior for the real exchange rate, do not rule out the possibility of a discontinuous adjustment as a limit case. Second, we propose two classes of unit-root tests against this mr-lstar alternative, based respectively on the likelihood and on an auxiliary model. Their asymptotic distributions are derived analytically. Third, when applied to 28 bilateral real exchange rates, our tests reject the null hypothesis of a unit root for eleven series bringing evidence in favor of the purchasing power parity.*

International audienceThis paper aims at investigating the heterogeneity of informal employment on the Turkish labour market. To circumvent the constraints imposed by the traditional parametric methods, finite mixture models are estimated in order to identify the optimal number of segments within the informal employment and their respective returns to individual characteristics. In particular, it sheds light on the potential voluntary nature of informal employment by comparing the estimated probabilities of segment membership with the theoretical probabilities that would result from a competitive labour market under the hypothesis of income maximization by workers. Results show that the classical self-employed versus informal wage-workers divide is not the best split of informal employment. Furthermore, the two estimated informal employment segments are both less desirable than formal employment. Thus, the hypothesis of labour-market segmentation, even after taking informal-sector heterogeneity into account, seems to hold, supporting the traditional dualistic view of informal employment in the Turkish context