Browsing by Author "Ucar, Nuri"

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Citation - WoS: 151
Citation - Scopus: 165
Testing for Unit Root in Nonlinear Heterogeneous Panels
(Elsevier Science Sa, 2009) Ucar, Nuri; Omay, Tolga
We develop unit root tests for nonlinear heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model, and provide their small sample properties. We apply our tests for investigating the income convergence hypothesis in the OECD sample. (C) 2009 Published by Elsevier B.V.
Citation - WoS: 2
Citation - Scopus: 2
Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels With Logistic Smooth Breaks
(Mdpi, 2023) Omay, Tolga; Ucar, Nuri
In this study, we investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. For this purpose, we propose a new unit root test for cross-sectionally dependent heterogeneous panels that allows for gradual structural breaks and symmetric nonlinear adjustment toward the equilibrium level. The alternative hypothesis stationary is obtained by symmetric adjustment due to exponential smooth transition autoregression (ESTAR) around a nonlinear trend. Moreover, we provide small sample properties extensively for the newly proposed test. Hence, this alternative hypothesis has been proven to characterize real exchange rate data (REER) correctly. Thus, the newly proposed tests provide an essential basis for modeling the REER series correctly. Finally, we also derive the approximate asymptotic distribution of the proposed tests using new techniques.
Citation - WoS: 5
Citation - Scopus: 7
Testing Stochastic Income Convergence in Seasonal Heterogeneous Panels
(Elsevier, 2010) Guler, Huseyin; Ucar, Nuri
In this paper we introduce a seasonal version of the Solow-Swan growth model and acquire an empirical income convergence equation. We take this equation as a basis to investigate whether income convergence exists in an OECD sample. To do this, we propose the test statistics under various asymptotic properties for some of the seasonal frequencies in the context of nonstationary heterogeneous panels. Critical values and moments of our statistics are generated and their finite sample performances are examined via Monte Carlo simulations. (C) 2009 Elsevier B.V. All rights reserved.