The Effect of Net FDI Inflow on Economic Growth in Turkey

Capital is one of the first and foremost requisites of economic development for every country in this world. However, not every country is given abundant capital. Foreign direct investment (FDI) occurs as a good cure to solve capital-related issues. In this study, the net FDI inflow and economic growth correlation was researched in Turkey for the period of 2010:1-2018:3 by employing quarterly data as well as applying the Augmented Dickey Fuller Test (ADF); Phillips-Perron (PP); Kwiatkowski, Phillips, Schmidt, Shin (KPSS); Elliott, Rothenberg, and Stock (ERS) Point Optimal; Ng-Perron Unit Root Tests; and Toda-Yamamoto Causality Tests. According to the findings of the study, there is a unidirectional causality running from net FDI to economic growth in Turkey.

Unit-root tests for explosive behavior

We present a new command, radf, that tests for explosive behavior in time series. The command computes the right-tail augmented Dickey and Fuller (1979, Journal of the American Statistical Association 74: 427–431) unitroot test and its further developments based on supremum statistics derived from augmented Dickey–Fuller-type regressions estimated using recursive windows (Phillips, Wu, and Yu, 2011, International Economic Review 52: 201–226) and recursive flexible windows (Phillips, Shi, and Yu, 2015, International Economic Review 56: 1043–1078). It allows for the lag length in the test regression and the width of rolling windows to be either specified by the user or determined using data-dependent procedures, and it performs the date-stamping procedures advocated by Phillips, Wu, and Yu (2011) and Phillips, Shi, and Yu (2015) to identify episodes of explosive behavior. It also implements the wild bootstrap proposed by Phillips and Shi (2020, Handbook of Statistics: Financial, Macro and Micro Econometrics Using R, Vol. 42, 61–80) to lessen the potential effects of unconditional heteroskedasticity and account for the multiplicity issue in recursive testing. The use of radf is illustrated with an empirical example.

IS THE REPORTS-BASED MEASURE OF UNCERTAINTY STATIONARY? EVIDENCE FROM A NEW PANEL RESIDUAL AUGMENTED LEAST SQUARES UNIT ROOT TEST

To avoid spurious inferences, researchers analyzing the dimensions of uncertainty need to determine whether it is nonstationary. The degree of persistence of uncertainty also indicates the duration of the negative impact of an uncertainty shock on the economy. We use a new panel residual augmented least squares unit root test that allows for heterogeneous structural breaks in both intercepts and slopes of a series to determine the degree of persistence of the reports-based measure of uncertainty and whether it is nonstationary for 143 countries. This group of countries accounts for 99% of the world’s gross domestic product (GDP). To assess the robustness of our results, we also use recently developed univariate time-series unit root tests that allow for structural breaks and panel unit root tests that accommodate cross-sectional dependence and nonlinearity. Furthermore, an autoregressive wild bootstrap approach is utilized to examine the stationarity of the series. The results are virtually unambiguous in indicating that the reports-based measure of uncertainty is stationary in all countries considered. The results also suggest that uncertainty has a negative impact on the growth rate of GDP. The policy implications of the results are also discussed.

A family of nonparametric unit root tests for processes driven by infinite variance innovations

This paper presents extensions to the family of nonparametric fractional variance ratio (FVR) unit root tests of Nielsen (2009. “A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic.” Econometric Theory 25: 1515–44) under heavy tailed (infinite variance) innovations. In this regard, we first develop the asymptotic theory for these FVR tests under this setup. We show that the limiting distributions of the tests are free of serial correlation nuisance parameters, but depend on the tail index of the infinite variance process. Then, we compare the finite sample size and power performance of our FVR unit root tests with the well-known parametric ADF test under the impact of the heavy tailed shocks. Simulations demonstrate that under heavy tailed innovations, the nonparametric FVR tests have desirable size and power properties.

Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity

Purpose This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology/approach The authors conduct a comprehensive analysis by using unit root approaches without and with structural breaks and non-linearity. Findings The PPP is valid for the GIIPS countries. Considering structural breaks in non-linear framework plays a crucial role. Originality/value There is no empirical study testing PPP hypothesis by focusing on the GIIPS countries. This study further takes into account for structural breaks and non-linearity in the real exchange rates of these countries.

An Asymmetric Investigation of Remittance and Trade Openness Impact on Inequality: Evidence From Selected South Asian Countries

This study’s motivation is to explore the relationship pattern between remittance, trade openness, and inequality of selected south Asian countries for the 1976–2018 period. The study performed non-linear tests, including unit root tests, non-linearity applying ordinary least squares (OLS) and BDS tests, non-linear autoregressive distributed lagged (NARDL) tests, and asymmetry causality tests to assess their association. Study findings with non-linear unit root tests suggest that the research variables follow the non-linear process of becoming stationary from non-stationary. The non-linear OLS and BDS test results confirm the existence of non-linearity among research variables, implying rejection of the null hypothesis of “no non-linearity.” Furthermore, the results of the Wald test in NARDL confirm the availability of asymmetric links among variables. Besides this, the results of NARDL confirm the long-run asymmetric relationship between remittances, trade openness, and inequality in all sample nations. Findings suggest that both positive and negative shocks in remittances and trade openness is critical to either instituting or vexing the present state of inequality in the economy in the long term. In the directional relationship with asymmetry causality, the study shows that the feedback hypothesis holds to explain the asymmetric causal effects that are positive shocks in remittances and trade openness toward inequality.