Browsing by Subject "Econometrics."

Now showing 1 - 8 of 8

Open Access
Application of spectral and cross-spectral analysis to İstanbul Stock Exchange Market
(1995) Erigüç, Cüneyt Altan
In this study, stock exchange index and selected four securities Ege Gübre, Bağfaş, Adana Gübre and Tüpraş from Istanbul Stock Exchange Market were analyzed with spectral and cross-spectral methods. Consumer price index was used to find the real values of securities. First o f aU, spectral analysis was apphed to be able to find periodicity of securities and significant periodicities were foimd for these four o f them. Cross-spectral analysis was then apphed between stock exchange index and four o f these securities, each pair displayed statistically significant coherencies, the lead and lag relationships o f certain frequencies were found from phase difference values o f significant coherencies.
Open Access
A comparative performance analysis for the commonly used time series filters in economics : Hodrick-Prescott versus Baxter-King
(2001) Yüksel, Ebru
This thesis compares the performance of the Hodrick-Prescott filter commonly employed in economic analysis to separate the trend of a given non-stationary time series from its cyclical components, to that of the Band-Pass filter developed by Baxter and King. The performances of detrending techniques under consideration are evaluated by constructing special time series that mimic the pattern of actually observed series of interest using synthesized cyclical and trend components. As an illustration of the use of this approach, the behavior of the ISE-100 index of Istanbul Stock Exchange and the Jasdaq index of Japanese Stock Market are analyzed.
Open Access
Comparison of the forecast performances of linear time series and artificial neural network models within the context of Turkish inflation
(2001) Uçar, Nuri
This thesis compares a variety of linear and nonlinear models to find the one with the best inflation forecast performance for the Turkish Economy. These comparisons are performed by considering the type of series whether or not stationary. Different combination techniques are applied to improve the forecasts. It is observed that the combination forecasts based on nonstationary vector autoregressive (VAR) and artificial neural network (ANN) models are better than the ones generated by other models. Furthermore, the forecast values combined with ANN technique produce lower root mean square errors (RMSE) than the other combination techniques.
Open Access
Demand and supply of real estate market in Turkey : a cointegration analysis
(2009) Bulut, Zeynep Burcu
Since in a country the housing market is a leading indicator for the whole economy, the determinants, that are affecting aggregate housing supply and demand, are widely searched. In this study, we try to find the variables which are affecting the demand and supply of real estate market in Turkey between the years 1970 to 2007. We can not specialize on the housing market and rather study the real estate market in the aggregate‐‐‐number of dwellings is our quantity measure‐‐‐due to data limitations. We chose Topel and Rosen’s (1988) demand and supply models that are basically based on different short‐ and long‐run elasticity. As demand side independent variables, interest rate, value variable, income and population are chosen and as supply side independent variables, value, interest rate and costs are chosen.Value is used as a proxy since the market price data does not exist in Turkey. Value is a kind of cost that is taken from the builder without interested in what the materials are and how much the labor costs to the builder. Also, the annual data is used because of the data limitations. Due to the fact that all these variables are I(1), Johansen Cointegration and VECM are preferred. According to the empirical findings, the signs of all the variables are as expected and are significant in the long‐run. However, in the short‐run, only interest rate and cost variables are significant in 90% confidence level. Furthermore, the price elasticity of supply is 1.5 in the long‐run while it is 0.13 in the short‐run. This shows us that the adjustment costs for a change in Turkey is significantly high. Moreover, the long‐run price elasticity of demand is ‐4.97.
Open Access
Monetary dynamics: evidence from cointegration and error correction modeling: the case of Turkey
(1992) Kelezoğlu, Hüseyin
This paper addresses Lhe issue of Les-Ling Lhe cointegration relationship for a conventional money demand function and constructing an error correction model CECMD of it to analyze both long-run and short run dynamics by using Turkish quarterly data during the period 1977:1-1989:4. The assumption that all the determinants of the long run money demand function are endogenous allowed the construction of ECM in vector autoregressive CVARD form. This became much helpful on the examination of temporal causality characteristics of the long run Turkish money demand function.
Open Access
Pooling time series and cross-sectional data: An Application to Turkish export demand analysis
(1989) Ural, A Süreyya
In this study. Pooling of time series and cross sectional data is used for constructing a demand model for the Turkish Exports. Two regression models are employed and compared by their fitness to the proposed pooling arrangements and demand relations. 25 Year time series (1963-1985) and cross sectional data covering top 10 exporters from Turkey are used for this purpose. Multiple regression analysis is conducted over different pooling arrangements and properness of pooling and fitness of model is tested by means of a series of F tests.
Open Access
Robust regression, HCCM estimators, and an Empirical Bayes application
(1999) Orhan, Mehmet
This Ph.D. thesis includes three topics of econometrics where the chapters of the whole study are devoted to robust regression analysis, research on the estimators for the covariance matrix of a heteroskedastic regression and finally an application of the Empirical Bayes method to some real data from Istanbul Stock Exchange. Some robust regression techniques are applied to some data sets to show how outliers of a data set may lead to wrong inferences. The results reveal that the former studies have gone through some wrong results with the effect of the outliers that were not detected. Second chapter makes a thorough evaluation of the existing heteroskedasticity consistent covariance matrix estimators where the Maximum Likelyhood estimator recently promoted to the literature by Zaman is also taken into consideration. Finally, some empirical study is carried out in the last part of the thesis. The firms of ISE are categorized into sectors and some estimation is done over an equation which is very common and simple in the finance literature.
Open Access
Spectral analysis: money, income and price, 1962-1987
(1990) Özyıldırım, Sezgin
In this study, the influence of monetary policy upon the price level and the real income over the business cycle is analyzed. The cross-spectral analysis, which is utilised in this study, minimises the effects of differential goverment policies. The observation period is from 1962 to 1987. The findings of the study show that the monetary policy has a significant influence upon the price level and so on the inflation as well.