Browsing by Subject "Unit root"
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Item Open Access Bounded unit root processes with non-stationary volatility(Taylor and Francis Ltd., 2021-02-08) Göğebakan, Kemal Çağlar; Eroğlu, B. A.This article concerns the unit root testing under nonstandard conditions for a time series process, such as having an innovation process with non-stationary variance and being limited inside an interval. These conditions are investigated separately in the unit root literature and shown to cause problems, such as size distortions. In this article, we consider the presence of both conditions in the unit root tests simultaneously. The simulation results indicate that the previous methods fail to provide satisfactory inference performance under the simultaneous presence of these conditions. To alleviate this issue, we propose a robust unit root testing mechanism and derive this procedure’s asymptotic properties.Item Open Access Bounded unit root processes with non-stationary volatility(Taylor & Francis Inc., 2021-02-08) Göğebakan, Kemal Çağlar; Eroğlu, Burak AlparslanThis article concerns the unit root testing under nonstandard conditions for a time series process, such as having an innovation process with non-stationary variance and being limited inside an interval. These conditions are investigated separately in the unit root literature and shown to cause problems, such as size distortions. In this article, we consider the presence of both conditions in the unit root tests simultaneously. The simulation results indicate that the previous methods fail to provide satisfactory inference performance under the simultaneous presence of these conditions. To alleviate this issue, we propose a robust unit root testing mechanism and derive this procedure’s asymptotic properties.Item Open Access Dynamic linkages of current account deficits and unemployment: evidence from Turkey(Kaerntner Botanikzentrum, 2015) Özer, M.; Yeldan, A. E.In this paper, we empirically test the causal relationship between current accountdeficits and unemployment in Turkey over 2000Q1–2012Q1. Using Johansenco-integration and Granger-causality analyses based on a corresponding vector error correction model, we studied many alternative specifications of the nexus between unemployment and external deficits in an open macroeconomyenvironment. Our results reveal the presence of unidirectional causality runningfrom current account deficits to unemployment. Furthermore, based on theimpulse response variance decomposition analysis, we find that unemploymentexplains little variation of current account deficits, although current accountdeficits explain a substantial fraction of the variation in unemployment. Weinterpret these findings as evidence of the structural sources of unemployment being embedded under the deepening external fragility of the Turkish economyover the 2000s.Item Open Access Forecasting the Turkish private manufacturing sector price index: several VAR models vs single equation modeling(Bilkent University, 1996) Kara, A. HakanT he purpose of this study is to forecast private manufacturing sector price index (WPIman) in the period 1982(1)-1996(5) using the public sector wholesale price index (WPIp), TL/Dollar Exchange Rate (E), M2Y and the private manufacturing sector production index (Qman) as the explanatory variables. Time series properties of these variables are tested and cointegration relationships are determined. Several VAR models are introduced and at the end a single equation analysis is conducted which utilized the long-run properties of data. Forecast parameter constancy is used as the main design criterion where the special interest is on 1994 crisis.Item Open Access Joint test for structural model specification(Bilkent University, 2006) Yüksel, SerkanAim of this thesis is to propose a test statistic that can test for true structural model in time series. Main concern of the thesis is to suggest a test statistic, which has joint null of unit root and no structural break (difference stationary model). When joint null hypothesis is rejected, source of deviation from the null model may be structural break or (and) stationarity. Sources of the deviation correspond to different structural models: Pure stationary model, trendbreak stationary model and trend-break with unit root model. The thesis suggests a test statistic that can discriminate null model from alternative models and more importantly, one alternative model from another. The test statistic that is proposed in the thesis is able to detect specific source of deviation from the null model. By doing so, we can determine the true structure model in time series. The thesis compares power properties of the test statistic that is proposed with the most favorable test in the literature. Simulation results indicate the power dominance over the test statistics in the literature. Moreover, we are able to specify true alternative model.Item Open Access Money demand, the Cagan model, testing rational expectations vs adaptive expectations: the case of Turkey(Springer, 1999) Metin, K.; Muslu, I.This paper estimates the Cagan type demand for money function for Turkish economy during the period 1986:1-1995:3 and tests whether Cagan's specification fits the Turkish data using an econometric technique assuming that forecasting errors are stationary. This paper also tests the hypothesis that monetary policy was implemented in aiming to maximize the inflation tax revenue. Finally, the Cagan model is estimated with the additional assumption of rational expectations for Turkey for the considered period.Item Open Access Persistency of Turkish export shocks: a quantile autoregression (QAR) approach(Springer, 2016) Berument, Hakan; Dincer, N. N.; Yasar, P.This study analyzes the persistency of total and disaggregated Turkish exports for different shock magnitudes using the quantile autoregression (QAR) method in line with Koenker and Xiao (J Am Stat Assoc 99:775–787, 2004). The results suggest that the persistence of shocks are not similar across different quantiles of Total Exports and disaggregated export sectors, indicating an asymmetry in the case of negative and positive shocks across different export sectors. The persistency behavior of Total Exports as well as Food and Beverages, Chemicals, Basic Metals, Raw Materials, Motor Vehicles and Radio & TV exports are asymmetric to negative versus positive shocks, which cannot be captured by traditional unit root tests. Thus, sound interpretation of QAR results is necessary for policy makers to identify shock characteristics and thereby pursue appropriate policies for overcoming adverse impacts on the economy. © 2015, Springer Science+Business Media New York.Item Open Access A powerful test for unit root and an application to GNP of seven OECD countries(Bilkent University, 2000) Ustundag, AliyeThis thesis uses a powerful test, Dickey-Fuller Generalized Least Squares (DF-GLS), to see whether unit root exists or not in real GNP of OECD Countries - Australia, Canada, Germany, Japan, Italy, U.K. and U.S. - for the years between the first quarter of 1960 and the second quarter of 1998 by using quarterly data that takes 1995 as base year. For this purpose a simple model with a deterministic component plus an error term, which is assumed to be AR (1), is used. The results of the regressions show the existence of unit root for all of the considered countries. Furthermore, we give flnite sample performances of Augmented Dickey-Fuller (ADF) test and DF-GLS tests which Elliott et al. (1996) conducted by using Monte Carlo experiment.Item Open Access Rescaled variance tests for seasonal stationarity(Walter de Gruyter GmbH, 2021-07-02) Göğebakan, Kemal ÇağlarThis paper introduces rescaled variance [V/S] tests for seasonal stationarity. The V/S statistic is designed by Giraitis, L., P. Kokoszka, R. Leipus, and G. Teyssière. 2003. “Rescaled Variance and Related Tests for Long Memory in Volatility and Levels.” Journal of Econometrics 112: 265–94 to be the mean corrected versions of the KPSS statistic. In the seasonal context, Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 present the seasonal generalization of the KPSS statistic. In this regard, I aim to strengthen the work of Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 [CH] by mean correction in the seasonal framework. I obtain the asymptotic distributions of the seasonal V/S tests. The V/S tests enjoy better power performance than the CH tests while exhibiting similiar size performance. Furthermore, by data pre-filtering, I propose robustified versions of the V/S statistics to eliminate the unattended unit root problem observed in the CH tests.Item Open Access Wavelet energy ratio unit root tests(Taylor and Francis Inc., 2016) Trokić, M.This article uses wavelet theory to propose a frequency domain nonparametric and tuning parameter-free family of unit root tests. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of the unit root based on the ratio of the resulting scaling energies. The proposed statistic enjoys good power properties and is robust to severe size distortions even in the presence of serially correlated MA(1) errors with a highly negative moving average (MA) parameter, as well as in the presence of random additive outliers. Any remaining size distortions are effectively eliminated using a novel wavestrapping algorithm. 2016 Copyright © Taylor & Francis Group, LLC