Threshold unit root tests with smooth transitions

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dc.authorid0000-0001-9082-0894en_US
dc.contributor.authorÖzcan, Mehmet
dc.contributor.authorYurdakul, Funda
dc.date.accessioned2022-02-15T06:24:26Z
dc.date.available2022-02-15T06:24:26Z
dc.date.issued2022en_US
dc.departmentKMÜ, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.description.abstractSince threshold autoregressive models were discovered, many unit root tests have been developed to test the unit root null hypothesis when considering regime change. On the other hand, Sollis, J Time Ser Anal 25:409–417, 2004, indicates that a threshold unit root test could be combined with some smooth transition logistic functions which are introduced by Leybourne et al., J Time Ser Anal 19:83–97, 1998. This paper investigates whether the Caner and Hansen, Econometrica 69:1555–1596, 2001, unit root test could be expanded with smooth transition functions and demonstrates the performance of this new unit root testing process with Monte Carlo simulations. Simulation results for finite sample properties show reasonable empirical size and power values. Also, the proposed unit root testing procedure is used to test unit root null hypothesis for industrial production indices of United States of America and Turkey.en_US
dc.identifier.citationÖzcan, M., & Yurdakul, F. (2022). Threshold unit root tests with smooth transitions. Contributions to Economics,13-29. doi:10.1007/978-3-030-85254-2_2en_US
dc.identifier.doi10.1007/978-3-030-85254-2_2
dc.identifier.endpage29en_US
dc.identifier.issn1431-1933
dc.identifier.scopus2-s2.0-85123446370
dc.identifier.scopusqualityQ4
dc.identifier.startpage13en_US
dc.identifier.urihttps://doi.org/10.1007/978-3-030-85254-2_2
dc.identifier.urihttps://hdl.handle.net/11492/5963
dc.indekslendigikaynakScopus
dc.institutionauthorÖzcan, Mehmet
dc.language.isoen
dc.publisherSpringer Science and Business Media Deutschland GmbHen_US
dc.relation.journalContributions to Economicsen_US
dc.relation.publicationcategoryKitap Bölümü - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectMonte Carlo Simulationsen_US
dc.subjectSmooth Transitionen_US
dc.subjectThreshold Modelen_US
dc.subjectUnit Rooten_US
dc.titleThreshold unit root tests with smooth transitionsen_US
dc.typeBook Part

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