Testing for cointegration in nonlinear asymmetric smooth transition error correction models

Hepsağ, Aycan

doi:10.1080/03610918.2018.1559927

Cited by 13 publications

(4 citation statements)

References 17 publications

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“…[47] investigated the response of CO 2 emissions to fuel tax in Turkey during the period 1985-2018 based on the asymmetric nonlinear cointegration test developed by ref. [48]. The results show no statistically significant environmental impact of fuel tax in both the short-and long-run.…”

Section: Literature Reviewmentioning

confidence: 77%

Do Environmental Taxes Affect Carbon Dioxide Emissions in OECD Countries? Evidence from the Dynamic Panel Threshold Model

Shammre

Benhamed

Ben-Salha

et al. 2023

Systems

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The latest decades have been marked by rapid climate change and global warming due to the release of greenhouse gas emissions into the atmosphere. Environmental taxes have emerged as a cost-effective way to tackle environmental degradation. However, the effectiveness of environmental taxes in reducing pollution remains a topic of ongoing debate. The purpose of this paper is to examine empirically the effects of various environmental tax categories (energy, pollution, resource and transport) on CO2 emissions in 34 OECD countries between 1995 and 2019. The dynamic panel threshold regression developed by Seo and Shin (2016) is implemented to assess whether the impact of environmental taxes on CO2 emissions depends on a given threshold level. The locally weighted scatterplot smoothing analysis provides evidence for a nonlinear association between environmental taxes and CO2 emissions. The analysis indicates the existence of one significant threshold and two regimes (lower and upper) for all environmental tax categories. The dynamic panel threshold regression reveals that the total environmental tax, energy tax and pollution tax reduce CO2 emissions in the upper regime, i.e., once a given threshold level is reached. The threshold levels are 3.002% of GDP for the total environmental tax, 1.991% for the energy tax and 0.377% for the pollution tax. Furthermore, implementing taxes on resource utilization may be effective but with limited environmental effects. Based on the research results, it is recommended that countries in the OECD implement specific environmental taxes to reduce greenhouse gas emissions.

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Section: Literature Reviewmentioning

confidence: 77%

Do Environmental Taxes Affect Carbon Dioxide Emissions in OECD Countries? Evidence from the Dynamic Panel Threshold Model

Shammre

Benhamed

Ben-Salha

et al. 2023

Systems

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“…On this basis, the variables were tested with non-linear unit root tests. The paper estimated the long-run nonlinear relationship among the variables through the use of non-linear cointegration tests developed by Kapetanios, Shin & Snell (2006) and Hepsağ (2021). The results revealed no evidence of any cointegrated relationship within the variables.…”

Section: Discussionmentioning

confidence: 99%

“…𝐹 𝑁𝐸𝐶 test regression: 2021) cointegration test differs from earlier cointegration test as it assumes that positive and negative shocks that occur in the short-run do not have the same effect on the process of achieving equilibrium in the long-run, meaningly, there is an asymmetric effect (Hepsağ, 2021). The main model of the Hepsağ cointegration test is as follows:…”

Section: Nonlinear Cointegration Testsmentioning

confidence: 99%

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Assessing Asymmetry in Okun's Law: A Nonlinear Approach in the Turkish Economy

Benli

2024

Fiscaoeconomia

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In this paper, the presence of asymmetric behavior in Okun’s Law for Turkey during the period 2005-2023 is analysed. The relationship between economic growth and the unemployment rate has been assessed in the context of nonlinear time series models. Nonlinear methods are typically favoured in macroeconomic series analyses as they generate more robust findings. In this paper, nonlienear symmetric KSS cointegration and nonlinear asymmetric Hepsağ cointegration tests were used to test for the existence of a long-run relationship between the variables, and the Hatemi-j test was used to test for nonlinear causality. Our findings demonstrate no evidence of co-integration between the variables. Hatemi-j test results, on the other hand, indicate the presence of a causality relationship from negative growth components to positive unemployment components. Specifically, a decrease in the growth was found to be the only one of all the components that was a statistically significant cause of an increase in the unemployment.

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