Threshold Unit Root Tests with Smooth Transitions

Özcan, Mehmet; Yurdakul, Funda

doi:10.1007/978-3-030-85254-2_2

Cited by 2 publications

(10 citation statements)

References 11 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The Fourier trend estimates better represent the dynamics of inflation in Turkey for the last 17 years. According to the test results, the hypothesis of the null of a unit root could only be rejected by the test statistics of Özcan and Yurdakul (2022). However, as underlined before, both Leybourne et al (1998) and Özcan and Yurdakul (2022) test statistics, should not be expected to give healthy results.…”

Section: Empirical Findingsmentioning

confidence: 90%

“…According to the test results, the hypothesis of the null of a unit root could only be rejected by the test statistics of Özcan and Yurdakul (2022). However, as underlined before, both Leybourne et al (1998) and Özcan and Yurdakul (2022) test statistics, should not be expected to give healthy results. Therefore, it would not be wrong to expect that the most reliable result will be presented by the Christopoulos and Leon-Ledesma (2010) test statistics based on the Fourier trend model.…”

Section: Empirical Findingsmentioning

confidence: 90%

“…The second approach, called regime change, the parameters of a time series are shaped according to a certain value of the corresponding time series variable. In this study, linear Dickey and Fuller (1981) unit root tests and nonlinear unit root tests, (Smooth structural change) Leybourne et al (1998), (Hybrid) Özcan and Yurdakul (2022) and (Fourier) Christopoulos and Leon-Ledesma (2010) tests will be used to examine inflation inertia for Turkey. Annual inflation rates were calculated from the consumer price index and domestic producer price index series for Turkey and the observations cover the period between January 2004 and March 2022.…”

Section: Data Set and Methodsmentioning

confidence: 99%

See 2 more Smart Citations

Investigation of Inflation Inertia in Turkey by Asymmetrical Methods

Özcan

2022

EPF Journal

View full text Add to dashboard Cite

Gelişmekte olan ekonomilerin önündeki en önemli problemlerden biri artan ve artışı hareketi kalıcı olan enflasyondur. Enflasyon yapışkanlığı olarak adlandırılan bu durum iktisadi ajanların enflasyon beklentilerinde bozulma meydana getirmektedir. Fiyatlama davranışının da bozulmasına sebep olan enflasyon sürekliliği para otoritesinin politika alanını daraltarak iktisadi problemlerin çözümü önünde ciddi bir engel oluşturmaktadır. Sıradan bir gelişmekte olan ekonomiye göre çok daha fazla iç ve dış şoklara maruz kalan Türkiye için bu çalışmada üç doğrusal olmayan birim kök sınaması kullanılarak enflasyon yapışkanlığı incelenmiştir. Bu birim kök sınamalarından ikisi iktisadi zaman serilerinde gözlenen tek bir yapısal değişimi dikkate alıyorken, diğeri Fourier dalga fonksiyonundan faydalanarak birden fazla yapısal değişimi modellemektedir. Ocak 2002-Mart 2022 dönemini kapsayan bu çalışmada, doğrusal olmayan birim kök sınamalarının ayrıca Rolling Windows örnekleme yöntemi ile de kullanıldığı çalışmada Türkiye’nin son 10 yılında enflasyon yapışkanlığı yaşanan dönemler tespit edilmiştir. Analiz sonuçlarına göre tek bir yapısal değişimi dikkate alan birim kök sınamalarının Türkiye için işlevsiz kaldığı vurgulanmış, yapışkanlığın gözlendiği dönemler iktisadi çerçevede yorumlanmıştır.

show abstract

Section: Empirical Findingsmentioning

confidence: 90%

Section: Empirical Findingsmentioning

confidence: 90%

Section: Data Set and Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Investigation of Inflation Inertia in Turkey by Asymmetrical Methods

Özcan

2022

EPF Journal

View full text Add to dashboard Cite

show abstract

“…For equation ( 8), the unit root null hypothesis was as 𝐻𝐻𝐻𝐻 0 : 𝜌𝜌𝜌𝜌 1 = 𝜌𝜌𝜌𝜌 2 = 0 and an 𝐹𝐹𝐹𝐹 statistic was proposed to test this hypothesis. escribed in Özcan and Yurdakul (2022) will be used in this study in combination with the LNV ith Caner and Hansen (2001) unit root testing. Caner and Hansen's threshold unit root test is a plex but more advanced unit root test than EG threshold unit root test, from which Sollis (2004) e TAR model of Caner and Hansen estimated in the second step of the updated LNV approach in y Özcan and Yurdakul ( 2022) is as follows:…”

Section: Methods and Datamentioning

confidence: 99%

“…Then, I am going to conduct the Leybourne et al (1998) test using smooth transition functions for modeling structural breaks. Finally, I will conduct the Özcan and Yurdakul (2022) test, which considers structural breaks and regime switching dynamics. 76 r-economy.com R-ECONOMY, 2023, 9(1), 73-91 doi 10.15826/recon.2023.9.1.005 Online ISSN 2412-0731 Another feature that makes this study different from the previous research is the application of the three aforementioned unit root tests with the rolling window sample method.…”

mentioning

confidence: 99%

Asymmetric Dynamics of Inflation Inertia in Some Selected Non-Eurozone European Countries

Özcan¹

2023

View full text Add to dashboard Cite

Relevance. Inflation inertia refers to the persistence of inflation over time and can be caused by a variety of factors, including expectations about future inflation, the structure of the economy, and the behavior of economic agents. Over the past two decades, the European economy has grappled with a range of challenges and currently seeks to mitigate the negative impacts of the global pandemic. Research objective. Persistent inflation can lead to uncertainty, decreased investment, and a loss of confidence in an economy. Non-eurozone economies can also face challenges in controlling inflation due to such factors as the lack of monetary integration with the eurozone, limited access to the European Central Bank's resources, and the lack of a unified currency. Hence, for a more effective monetary policy in these countries, it is necessary to measure and understand the inflation inertia. This paper offers a novel empirical study of the dynamics of inflation inertia for seven EU economies that are not part of the eurozone. Data and methods. To achieve the research objective, three non-linear unit root tests are employed to consider both structural changes and regime switching. These tests allowed for the inclusion of almost all non-linear dynamics observed in the inflation series. In addition, the tests involve the use of the dynamic rolling windows sample approach in order to provide more sensitive measurements of the effect of time-varying shocks on inflation inertia. Results. According to the static sample analysis of 200 observations, Bulgaria, Croatia, and the Czech Republic have inflation inertia. Sweden, Romania, Hungary, and Poland do not have inflation inertia when non-linear regime switching dynamics and structural change are considered. However, Croatia and the Czech Republic show a mostly non-stationary inflation in dynamic rolling windows sampling. Hungary has persistent inflation even though it was not detected in the static sample analysis. The shocks of inflation fade out in Bulgaria, Poland, Romania, and Sweden with non-linear dynamics. If non-linear dynamics is ignored, it can lead to misleading results in economic time series. Conclusions. Inflation inertia can be influenced by a variety of factors, including the global pandemic, global or regional conflicts and monetary policy preferences. The successful management of inflation inertia in Romania and Sweden may serve as a model for other economies that have demonstrated an ability to effectively address and mitigate the challenges posed by inflation inertia.

show abstract

Threshold Unit Root Tests with Smooth Transitions

Cited by 2 publications

References 11 publications

Investigation of Inflation Inertia in Turkey by Asymmetrical Methods

Investigation of Inflation Inertia in Turkey by Asymmetrical Methods

Asymmetric Dynamics of Inflation Inertia in Some Selected Non-Eurozone European Countries

Contact Info

Product

Resources

About