Application of nonlinear unit root tests and threshold autoregressive models

Uysal, Ela
Popularity of nonlinear threshold models and unit root tests has increased after the recent empirical studies concerning the effects of business cycles on macroeconomic data. These studies have shown that an economic variable may react differently in response to downturns and recoveries in a business cycle. Inspiring from empirical results, this thesis investigates dynamics of Turkish key macroeconomic data, namely capacity utilization rate, growth of import and export volume indices, growth of gross domestic product, interest rate for cash loans in Turkish Liras and growth of industrial production index. Estimation results imply that capacity utilization rate and growth of industrial production index show M-TAR type nonlinear stationary behavior according to the unit root test proposed by Enders and Granger (1998).


Integrability of Kersten-Krasil'shchik coupled KdV-mKdV equations: singularity analysis and Lax pair
Karasu, Emine Ayşe; Yurdusen, I (AIP Publishing, 2003-04-01)
The integrability of a coupled KdV-mKdV system is tested by means of singularity analysis. The true Lax pair associated with this system is obtained by the use of prolongation technique. (C) 2003 American Institute of Physics.
Quantum mechanical treatment of the problem of constraints in non-extensive formalism revisited
Bagci, G. B.; Arda, Altug; Sever, Ramazan (World Scientific Pub Co Pte Lt, 2007-07-10)
The purity of Werner state in non-extensive formalism associated with two different constraints has been calculated in a previous paper by Bagci et al.(17) Two different results have been obtained corresponding to ordinary probability and escort probability. The former has been shown to result in negative values thereby leading authors to deduce the advantage of escort probabilities over ordinary probabilities. However, these results have only been for a limited interval of q values which lie between 0 and ...
A new contribution to nonlinear robust regression and classification with mars and its applications to data mining for quality control in manufacturing
Yerlikaya, Fatma; Weber, Gerhard Wilhelm; Department of Scientific Computing (2008)
Multivariate adaptive regression spline (MARS) denotes a modern methodology from statistical learning which is very important in both classification and regression, with an increasing number of applications in many areas of science, economy and technology. MARS is very useful for high dimensional problems and shows a great promise for fitting nonlinear multivariate functions. MARS technique does not impose any particular class of relationship between the predictor variables and outcome variable of interest....
Comparison of iterative algorithms for parameter estimation in nonlinear regression
Musluoğlu, Gamze; Akkaya, Ayşen; Department of Statistics (2018)
Nonlinear regression models are more common as compared to linear ones for real life cases e.g. climatology, biology, earthquake engineering, economics etc. However, nonlinear regression models are much more complex to fit and to interpret. Classical parameter estimation methods such as least squares and maximum likelihood can also be adopted to fit the model in nonlinear regression as well, but explicit solutions can not be achieved unlike linear models. At this point, iterative algorithms are utilized to ...
Advanced mathematical and statistical tools in the dynamic modelling and simulation of gene-environment networks
Purutçuoğlu Gazi, Vilda (Springer, 2014-01-01)
In this study, some methodologies and a review of the recently obtained new results are presented for the problem of modeling, anticipation and forecasting of genetic regulatory systems, as complex systems. In this respect, such kind of complex systems are modeled in the dynamical sense into the two different ways, namely, by a system of ordinary differential equations (ODEs) and Gaussian graphical methods (GGM). An artificial time-course microarray dataset of a gene-network is modeled as an example by usin...
Citation Formats
E. Uysal, “Application of nonlinear unit root tests and threshold autoregressive models,” M.S. - Master of Science, Middle East Technical University, 2012.