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Ortalama Tüketim Eğilimi Durağan Mıdır? Türkiye Ekonomisi için Bir Zaman Serisi Analizi

Yıl 2017, Cilt: 1 Sayı: 1, 50 - 65, 14.10.2017

Öz

Bu
çalışma ortalama tüketim eğiliminin durağan olup olmadığını Türkiye ekonomisi
için incelemektedir. Daha önce bu konuda yapılan çalışmalardan farklı olarak üçer
aylık bir veri seti ile çalışılmış ve bu veri setinden yararlanarak üç ayrı Ortalama
Tüketim Eğilimi (APC) serisi oluşturulmuştur. Ayrıca her seri mevsimsellikten
arındırılarak analiz edilmiştir. Analizlerde ADF ve PP gibi geleneksel birim
kök testleri yanında daha yüksek bir güce veya daha düşük bir hacim
çarpıklığına sahip testler de kullanılmıştır. Ayrıca içsel bir biçimde bir ve
iki yapısal kırılmaya izin veren birim kök testleri de kullanılmıştır. Yapısal
kırılmanın dikkate alınmadığı bazı test sonuçları durağanlık hipotezi lehine
kanıtlar sunmaktadır. Yapısal kırılmanın dikkate alınması durumunda ise bu
kanıtlar genel olarak güçlenmektedir.   

Kaynakça

  • Arı, A., Özcan, B. (2015), "Tüketim-Gelir Oranının Durağanlığı: Türkiye Örneği", Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(3): 23-46.
  • Cerrato, M., Peretti, C., Stewart, C. (2013), "Is the Consumption-Income Ratio Stationary? Evidence from Linear and Non-linear Panel Unit Root Tests for OECD and Non-OECD Coutries", The Manchester School, 81(1): 102-120.
  • Chen, S. W., Xie, Z. (2015), "Nonlinear Mean Reversion in the Consumption-Income Ratio: New Evidence from the OECD countries", International Review of Accounting, Banking and Finance, 7(3/4): 30-56
  • Cook, S. (2003), "The Nonstationarity of the Consumption-Income Ratio: Evidence from More Powerful Dickey-Fuller Tests", Applied Economics Letters, 10: 393-395.
  • Cook, S. (2005), "The Stationarity of Consumption-Income Ratios: Evidence from Minimum LM Unit Root Testing", Economics Letters, 89: 55-60.
  • Dickey, D. A., Fuller, W. A. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366): 427-431.
  • Elliott, G., Rothenberg, T. J., Stock, J. H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64(4): 813-836.
  • Elmi, Z. M., Ranjbar, O. (2013), "Nonlinear Adjustment to the Mean Reversion of Consumption-Income Ratio", Economic Modelling, 35: 477-480.
  • Fallahi, F. (2012), "The Stationarity of Consumption-Income Ratios: Evidence from Bootstrapping Confidence Intervals", Economics Letters, 115: 137-140.
  • Gözgör, G. (2013), "Stochastic Properties of the Consumption-Income Ratios in Central and Eastern European Countries", Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 31(2): 193-207.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54(1-3): 159-178.
  • Lee, J., Strazicich, M. C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, The Review of Economics and Statistics, 85(4): 1082-1089.
  • Lee, J., Strazicich, M. C. (2004), “Minimum LM Unit Root Test with One Structural Break”, Appalachian State University Faculty of Economics Working Papers, No.04-17. Boone, NC: Appalachian State University. http://econ.appstate.edu/RePEc/pdf/wp0417.pdf (10. 09. 2017).
  • Ng, S., Perron, P. (1995), “Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag”, Journal of the American Statistical Association, 90(429): 268-281.
  • Ng, S., Perron, P. (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69(6): 1519-1554.
  • Phillips, P. C. B., Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrica, 75(2): 335-346.
  • Romero-Avila, D. (2008), "A Confirmatory Analysis of the Unit Root Hypothesis for OECD Consumption-Income Ratios", Applied Economics, 40(17): 2271-2278.
  • Romero-Avila, D. (2009), "Are OECD Consumption-Income Ratios Stationary After All?", Economic Modelling, 26: 107-117.
  • Sarantis, N., Stewart, C. (1999), "Is the Consumption-Income Ratio Stationary? Evidence From Panel Unit Root Tests", Economics Letters, 64: 309-314.
  • Solarin, S. A. (2017), "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries", Romanian Journal of Economic Forecasting, 20(2): 109-123.
  • Whelan, K. (2002), “A Guide to U.S. Chain Aggregated NIPA Data”, Review of Income and Wealth, 48(2): 217-233.
  • Yılancı, V., Zeren, F., Arı, A. (2013), "Tüketim-Gelir Oranı Güneydoğu Asya Ülkelerinde Durağan Mı?: Panel Birim Kök Testi", Yönetim ve Ekonomi Araştırmaları Dergisi, (21): 130-139.

Is Average Propensity to Consume Stationary? A Time Series Analysis for Turkish Economy

Yıl 2017, Cilt: 1 Sayı: 1, 50 - 65, 14.10.2017

Öz

This
article investigates whether average propensity to consume is stationary for
Turkish economy. Contrary to other studies which have investigated the same
issue for Turkish economy a quarterly data set is used and three different Average
Propensity to Consume (APC) series are calculated by using this data set.
Besides, each series is seasonally adjusted and analysed in this form. In
addition to widely used unit root tests such as the ADF and the PP tests, some
other tests which generally have much power or less size distortions are used. Unit
root tests which allow one and two structural breaks endogenously are also used.
Results of the tests without structural breaks give some support for the
stationarity hypothesis. When structural breaks are accounted for, evidence
supporting for the stationarity hypothesis is generally strengthened.   

Kaynakça

  • Arı, A., Özcan, B. (2015), "Tüketim-Gelir Oranının Durağanlığı: Türkiye Örneği", Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(3): 23-46.
  • Cerrato, M., Peretti, C., Stewart, C. (2013), "Is the Consumption-Income Ratio Stationary? Evidence from Linear and Non-linear Panel Unit Root Tests for OECD and Non-OECD Coutries", The Manchester School, 81(1): 102-120.
  • Chen, S. W., Xie, Z. (2015), "Nonlinear Mean Reversion in the Consumption-Income Ratio: New Evidence from the OECD countries", International Review of Accounting, Banking and Finance, 7(3/4): 30-56
  • Cook, S. (2003), "The Nonstationarity of the Consumption-Income Ratio: Evidence from More Powerful Dickey-Fuller Tests", Applied Economics Letters, 10: 393-395.
  • Cook, S. (2005), "The Stationarity of Consumption-Income Ratios: Evidence from Minimum LM Unit Root Testing", Economics Letters, 89: 55-60.
  • Dickey, D. A., Fuller, W. A. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366): 427-431.
  • Elliott, G., Rothenberg, T. J., Stock, J. H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64(4): 813-836.
  • Elmi, Z. M., Ranjbar, O. (2013), "Nonlinear Adjustment to the Mean Reversion of Consumption-Income Ratio", Economic Modelling, 35: 477-480.
  • Fallahi, F. (2012), "The Stationarity of Consumption-Income Ratios: Evidence from Bootstrapping Confidence Intervals", Economics Letters, 115: 137-140.
  • Gözgör, G. (2013), "Stochastic Properties of the Consumption-Income Ratios in Central and Eastern European Countries", Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 31(2): 193-207.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54(1-3): 159-178.
  • Lee, J., Strazicich, M. C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, The Review of Economics and Statistics, 85(4): 1082-1089.
  • Lee, J., Strazicich, M. C. (2004), “Minimum LM Unit Root Test with One Structural Break”, Appalachian State University Faculty of Economics Working Papers, No.04-17. Boone, NC: Appalachian State University. http://econ.appstate.edu/RePEc/pdf/wp0417.pdf (10. 09. 2017).
  • Ng, S., Perron, P. (1995), “Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag”, Journal of the American Statistical Association, 90(429): 268-281.
  • Ng, S., Perron, P. (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69(6): 1519-1554.
  • Phillips, P. C. B., Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrica, 75(2): 335-346.
  • Romero-Avila, D. (2008), "A Confirmatory Analysis of the Unit Root Hypothesis for OECD Consumption-Income Ratios", Applied Economics, 40(17): 2271-2278.
  • Romero-Avila, D. (2009), "Are OECD Consumption-Income Ratios Stationary After All?", Economic Modelling, 26: 107-117.
  • Sarantis, N., Stewart, C. (1999), "Is the Consumption-Income Ratio Stationary? Evidence From Panel Unit Root Tests", Economics Letters, 64: 309-314.
  • Solarin, S. A. (2017), "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries", Romanian Journal of Economic Forecasting, 20(2): 109-123.
  • Whelan, K. (2002), “A Guide to U.S. Chain Aggregated NIPA Data”, Review of Income and Wealth, 48(2): 217-233.
  • Yılancı, V., Zeren, F., Arı, A. (2013), "Tüketim-Gelir Oranı Güneydoğu Asya Ülkelerinde Durağan Mı?: Panel Birim Kök Testi", Yönetim ve Ekonomi Araştırmaları Dergisi, (21): 130-139.
Toplam 22 adet kaynakça vardır.

Ayrıntılar

Konular Ekonomi, İşletme
Bölüm Makaleler
Yazarlar

Uğur Sivri

Belgin Seven Bu kişi benim

Yayımlanma Tarihi 14 Ekim 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 1 Sayı: 1

Kaynak Göster

APA Sivri, U., & Seven, B. (2017). Ortalama Tüketim Eğilimi Durağan Mıdır? Türkiye Ekonomisi için Bir Zaman Serisi Analizi. Anadolu İktisat Ve İşletme Dergisi, 1(1), 50-65.