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A NOTE ON THE EXAMINATION OF THE FISHER HYPOTHESIS BY USING PANEL CO-INTEGRATION TESTS WITH BREAK

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cris.virtual.department#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtual.orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.department89d2ce94-6c1d-4fb9-84e1-76e9a62f9896
cris.virtualsource.orcid89d2ce94-6c1d-4fb9-84e1-76e9a62f9896
dc.contributor.affiliationTurk Hava Kurumu University; Okan University; Bahcesehir University; Isik University
dc.contributor.authorOmay, Tolga; Hasanov, Mubariz; Yuksel, Asli; Yuksel, Aydin
dc.date.accessioned2024-06-25T11:45:24Z
dc.date.available2024-06-25T11:45:24Z
dc.date.issued2016
dc.description.abstractOne problem encountered when examining the Fisher hypothesis is that various policy changes and economic shocks may induce structural shifts in the long-run relation. We explore the argument that panel cointegration tests based on common correlated effect estimators have reasonably good power and size properties, even in the presence of structural breaks, if the timing of structural shifts roughly coincide to each other across individual group members. Using the data from Omay et al.. (2015), which pays special attention to cross-section dependence issue but ignores the possibility of structural break in the data, we provide support to the argument above.
dc.description.endpage26
dc.description.issue2
dc.description.pages14
dc.description.researchareasBusiness & Economics
dc.description.startpage13
dc.description.volume19
dc.description.woscategoryEconomics
dc.identifier.issn1582-6163
dc.identifier.urihttps://acikarsiv.thk.edu.tr/handle/123456789/1282
dc.language.isoEnglish
dc.publisherINST ECONOMIC FORECASTING
dc.relation.journalROMANIAN JOURNAL OF ECONOMIC FORECASTING
dc.subjectFisher hypothesis; panel cointegration with structural break; cross section dependency; common correlated effect estimators; sieve bootstrap
dc.subjectUNIT-ROOT TESTS; HETEROGENEOUS PANELS; SMOOTH BREAKS; MODELS
dc.titleA NOTE ON THE EXAMINATION OF THE FISHER HYPOTHESIS BY USING PANEL CO-INTEGRATION TESTS WITH BREAK
dc.typeArticle
dspace.entity.typePublication

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