A note on the examination of the fisher hypothesis by using panel co-integration tests with break

Basit Öğe Kaydı
dc.authorid0000-0003-0263-2258
dc.authorid0000-0003-0216-9531
dc.authorid0000-0002-8716-9049
dc.authorid0000-0001-9428-0426
dc.contributor.authorOmay, Tolgaen_US
dc.contributor.authorHasanov, Mübarizen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Aydınen_US
dc.date.accessioned2016-08-11T18:13:52Z
dc.date.available2016-08-11T18:13:52Z
dc.date.issued2016
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
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.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationOmay, T., Hasanov, M., Yüksel, A. & Yüksel, A. (2016). A note on the examination of the fisher hypothesis by using panel co-integration tests with break. Romanian Journal of Economic Forecasting, 19(2), 13-26.en_US
dc.identifier.endpage26
dc.identifier.issn1582-6163
dc.identifier.issue2
dc.identifier.scopus2-s2.0-84978139638
dc.identifier.scopusqualityQ3
dc.identifier.startpage13
dc.identifier.urihttps://hdl.handle.net/11729/1115
dc.identifier.volume19
dc.identifier.wosWOS:000379378000002
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakSocial Sciences Citation Index (SSCI)en_US
dc.institutionauthorYüksel, Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherInstitute foe Economic Forecastingen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.sourceRomanian Journal of Economic Forecastingen_US
dc.subjectCommon correlated effect estimatorsen_US
dc.subjectCross section dependencyen_US
dc.subjectFisher hypothesisen_US
dc.subjectPanel cointegration with structural breaken_US
dc.subjectSieve bootstrapen_US
dc.titleA note on the examination of the fisher hypothesis by using panel co-integration tests with breaken_US
dc.typeArticleen_US
dspace.entity.typePublication

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
1115.pdf
Boyut:
359.59 KB
Biçim:
Adobe Portable Document Format
Açıklama:
Publisher's Version
İndir
Lisans paketi
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
license.txt
Boyut:
1.71 KB
Biçim:
Item-specific license agreed upon to submission
Açıklama:
İndir

Koleksiyon

Makale Koleksiyonu | İşletme Bölümü
Scopus İndeksli Yayınlar Koleksiyonu
WoS İndeksli Yayınlar Koleksiyonu