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A Note on the Examination of the Fisher Hypothesis by Using Panel Co-Integration Tests with Break

Author

Listed:
  • Tolga Omay

    (Department of Management, Turk Hava Kurumu University, Ankara, Turkey.)

  • Mubariz Hasanov

    (Department of Banking and Finance, Okan University, Istanbul, Turkey.)

  • Asli Yuksel

    (Department of Management, Bahcesehir University, Istanbul, Turkey)

  • Aydin Yuksel

    (epartment of Management, Bahcesehir University, Istanbul, Turkey. 4 Department of Management, Isik University, Sile, Istanbul, 34980, Turkey.)

Abstract

One 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.

Suggested Citation

  • Tolga Omay & Mubariz Hasanov & Asli Yuksel & Aydin Yuksel, 2016. "A Note on the Examination of the Fisher Hypothesis by Using Panel Co-Integration Tests with Break," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 13-26, June.
    • Handle: RePEc:rjr:romjef:v::y:2016:i:2:p:13-26
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    References listed on IDEAS

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    Cited by:

    1. Muhammed TIRAŞOĞLU, 2018. "Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 14(28), pages 31-43, December.
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    More about this item

    Keywords

    Fisher hypothesis; panel cointegration with structural break; cross section dependency; common correlated effect estimators; sieve bootstrap;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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