This study aims to determine the validity of absolute purchasing power parity between Turkish lira and British pound for March 2001-November 2020. Traditional unit root tests (and stationarity test) that do not take structural breaks into account were used in study. According results all tests, it was found valid.

Asymmetric power GARCH models have been widely used to study the higher order moments of financial returns, while their quantile estimation has rarely investigated. This paper introduces a simple monotonic transformation on its conditional function make regression tractable. The asymptotic normality resulting estimators is established under either stationarity or non-stationarity. Moreover, bas...

An adaptive finite element method is developed for a class of optimal control problems with elliptic variational inequality constraints and objective functionals defined on the space of continuous functions, necessitated by a point-tracking requirement with respect to the state variable. A suitable first order stationarity concept is derived for the problem class via a penalty technique. The du...

This paper estimates the income elasticity of health care expenditures using annual data on health spending by state in the U.S. from 1966-2009. Panel stationarity tests incorporating structural breaks in the levels and trends in Health Care Expenditures and Disposable Personal Income yield inconsistent results, with stationarity rejected for HCE but not for DPI. Regression results using levels...

Fifteen years after the seminal work of Charles R. Nelson and Charles I. Plosser ( 1982), the question of deterministic vs. stochastic trend in U.S. GNP (and other key aggregates) remains open. The surrounding controversy certainly is not due to lack of professional interest-the literature on the question is huge. Instead, the low power of tests of stochastic trend (or "difference stationarity"...

The main intent of this paper is to present a review on the application of time series analysis techniques in hydrology and climatology. An overview of various statistical tests for detecting and estimating the hydrologic time series characteristics (i.e., homogeneity, stationarity, trend, periodicity, and persistence) is presented, together with their merits and demerits followed by comprehens...

This paper presents a comparison of power of panel tests of cointegration and show how the choice of most powerful test depends on the values of the sample statistics. Country-by-country and panel stationarity and cointegration tests are performed using a panel of 20 OECD countries observed over the period 1971-2004. Residual-based tests and a cointegration rank test in the system of health car...

Acknowledgments I acknowledge useful conversations with Serena Ng, James Stock, and Vince Wiggins. The KPSS code was adapted from John Barkoulas’ RATS code for that test. Thanks also to Richard Sperling for tracking down a discrepancy between published work and the dfgls output and alerting me to the Cheung and Lai estimates. Any remaining errors are my own. References Cheung, Y. W. and K.-S. L...

This paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be non stationary and not revert to any sh...