Journal ArticleDOI
Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates
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In this article, the authors developed tests for unit roots that account jointly for structural breaks and non-linear adjustment induced by transaction costs, and applied these tests to a set of 15 OECD countries' RERs and were able to reject the null of a unit root in 14 cases.About:
This article is published in Journal of International Money and Finance.The article was published on 2010-10-01. It has received 155 citations till now. The article focuses on the topics: Unit root & Mean reversion.read more
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The nexus between income inequality and CO2 emissions in Turkey
Umut Uzar,Kemal Eyuboglu +1 more
TL;DR: In this paper, an Autoregressive Distributed Lag Model (ARDL) test is employed to determine possible long-term and short-term nexus among the series of CO2 emissions in Turkey.
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Do renewable and nuclear energy enhance environmental quality in France? A new EKC approach with the load capacity factor
Ugur Korkut Pata,Ahmed Samour +1 more
TL;DR: In this paper , the authors analyzed the effects of nuclear and renewable energy on the ecological footprint, carbon dioxide (CO2) emissions, and load capacity factor using co-integration and causality tests with Fourier transforms.
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The impact of tourism on CO2 emission in Turkey
Kemal Eyuboglu,Umut Uzar +1 more
TL;DR: In this paper, the linkages among CO2 emissions, tourist arrivals, energy consumption, and economic growth for the period 1960-2014 in Turkey were analyzed, using three cointegration models.
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Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
TL;DR: This paper examines the interaction between non-linear deterministic trends and long run dependence by means of employing Chebyshev time polynomials and assuming that the detrended series displays long memory with the pole or singularity in the spectrum occurring at one or more possibly non-zero frequencies.
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Exchange rate forecasts and expected fundamentals
TL;DR: This paper showed that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts, and that the relationship is robust to individual fixed effects and further controls.
References
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Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
TL;DR: In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.
Journal ArticleDOI
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Eric Zivot,Donald W.K. Andrews +1 more
TL;DR: In this paper, a variation of Perron's test is considered in which the breakpoint is estimated rather than fixed, and the asymptotic distribution of the estimated breakpoint test statistic is determined.
Journal ArticleDOI
Lag length selection and the construction of unit root tests with good size and power
Serena Ng,Pierre Perron +1 more
TL;DR: In this paper, a modified information criterion (MIC) with a penalty factor that is sample dependent was proposed to select appropriate truncation lag values for unit root tests with a moving-average root close to -1.
Journal ArticleDOI
Computation and analysis of multiple structural change models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the break dates and the number of breaks in a linear model with multiple structural changes has been considered and an efficient algorithm based on the principle of dynamic programming has been proposed.
Posted Content
Computation and Analysis of Multiple Structural-Change Models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the number of break dates in a linear model with multiple structural changes has been studied and an efficient algorithm to obtain global minimizers of the sum of squared residuals has been proposed.
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Junsoo Lee,Mark C. Strazicich +1 more