scholarly journals Unemployment hysteresis in Middle East and North Africa countries: panel SUR-based unit root test with a Fourier function

2021 ◽  
pp. 1-17
Author(s):  
Oladapo Gbenga Awolaja ◽  
OlaOluwa Simon Yaya ◽  
Ahamuefula Ephraim Ogbonna ◽  
Solomon Onuche Joseph ◽  
Xuan Vinh Vo
Keyword(s):  
Middle East ◽  
North Africa ◽  
Unit Root ◽  
Unit Root Test ◽  
Fourier Function

scholarly journals Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Tolga Omay ◽  
Dumitru Baleanu
Keyword(s):  
Unit Root ◽  
Fractional Integration ◽  
Structural Break ◽  
Unit Root Test ◽  
Small Sample ◽  
Fractional Difference ◽  
Fractional Frequency ◽  
Small Sample Properties ◽  
Fourier Function ◽  
Fractional Unit

AbstractIn this study we propose a fractional frequency flexible Fourier form fractionally integrated ADF unit-root test, which combines the fractional integration and nonlinear trend as a form of the Fourier function. We provide the asymptotics of the newly proposed test and investigate its small-sample properties. Moreover, we show the best estimators for both fractional frequency and fractional difference operator for our newly proposed test. Finally, an empirical study demonstrates that not considering the structural break and fractional integration simultaneously in the testing process may lead to misleading results about the stochastic behavior of the Covid-19 pandemic.

scholarly journals Investigating the efficiency of financial markets: Empirical evidence from MENA countries

2021 ◽  
Vol 18 (1) ◽  
pp. 250-259
Author(s):  
Izzeddien N. Ananzeh
Keyword(s):  
Financial Markets ◽  
North Africa ◽  
Unit Root ◽  
Unit Root Test ◽  
Weak Form ◽  
Ratio Test ◽  
Mena Region ◽  
Graduate Studies ◽  
Mena Countries ◽  
Run Test

The market efficiency hypothesis has become an important concept for all investors looking to own internationally diversified portfolios, which coincides with an increase in investment flows between all countries, both developed and undeveloped. This study was aimed at investigating the efficiency of a group of Arab stock markets located in the Middle East and North Africa (MENA) region according to the Random Walk Hypotheses (RWH) at weak form. The study covered the markets of Jordan, Egypt, Saudi Arabia, UAE, Bahrain, and Oman.The empirical results of all tests used in this study rejected the RWH at a weak form for all markets through all tests applied – Unit root test, Variance Ratio Test, and Run Test. The result of this study contradicts the results of many studies conducted on developed and emerging markets. This can be a good indication of the ineffectiveness of the reforms that have been adopted by responsible bodies on these markets.Based on this result, all efforts made to expand and deepen these markets should be intensified by improving liquidity, transparency, enhancing investment culture in these countries; supporting legislative and regulatory reforms to attract investment, and developing the financial sector in these markets as a whole. AcknowledgmentThis paper is supported by the Deanship of Scientific Research and Graduate Studies at Philadelphia University in Jordan.

scholarly journals High Persistence and Nonlinear Behavior in Financial Variables: A More Powerful Unit Root Testing in the ESTAR Framework

Mathematics ◽  
2021 ◽  
Vol 9 (20) ◽  
pp. 2534
Author(s):  
Tolga Omay ◽  
Aysegul Corakci ◽  
Esra Hasdemir
Keyword(s):  
Interest Rates ◽  
Unit Root ◽  
Nuisance Parameter ◽  
Unit Root Test ◽  
Information Loss ◽  
Smooth Transition ◽  
Unit Root Testing ◽  
Fourier Function ◽  
Near Unit Root ◽  
Model Linearization

In this study, we consider the hybrid nonlinear features of the Exponential Smooth Transition Autoregressive-Fractional Fourier Function (ESTAR-FFF) form unit root test. As is well known, when developing a unit root test for the ESTAR model, linearization is performed by the Taylor approximation, and thereby the nuisance parameter problem is eliminated. Although this linearization process leads to a certain amount of information loss in the unit root testing equation, it also causes the resulting test to be more accessible and consistent. The method that we propose here contributes to the literature in three important ways. First, it reduces the information loss that arises due to the Taylor expansion. Second, the research to date has tended to misinterpret the Fourier function used with the Kapetanios, Shin and Snell (2003) (KSS) unit root test and considers it to capture multiple smooth transition structural breaks. The simulation studies that we carry out in this study clearly show that the Fourier function only restores the Taylor residuals of the ESTAR type function rather than accounting forthe smooth structural break. Third, the new nonlinear unit root test developed in this paper has very strong power in the highly persistent near unit root environment that the financial data exhibit. The application of the Kapetanios Shin Snell- Fractional Fourier (KSS-FF) test to ex-post real interest rates data of 11 OECD countries for country-specific sample periods shows that the new test catches nonlinear stationarity in many more countries than the KSS test itself.

Press Propaganda and Subaltern Agents of Pan-Islamic Networks in the Muslim Mediterranean World prior to World War I

2018 ◽  
Author(s):  
Odile Moreau
Keyword(s):  
Middle East ◽  
World War I ◽  
North Africa ◽  
World War ◽  
Subaltern Studies ◽  
Resistance Movements ◽  
The Press ◽  
Mediterranean World ◽  
History Of

This chapter explores movement and circulation across the Mediterranean and seeks to contribute to a history of proto-nationalism in the Maghrib and the Middle East at a particular moment prior to World War I. The discussion is particularly concerned with the interface of two Mediterranean spaces: the Middle East (Egypt, Ottoman Empire) and North Africa (Morocco), where the latter is viewed as a case study where resistance movements sought external allies as a way of compensating for their internal weakness. Applying methods developed by Subaltern Studies, and linking macro-historical approaches, namely of a translocal movement in the Muslim Mediterranean, it explores how the Egypt-based society, al-Ittihad al-Maghribi, through its agent, Aref Taher, used the press as an instrument for political propaganda, promoting its Pan-Islamic programme and its goal of uniting North Africa.

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