MEVSİMSEL BİRİM KÖK TESTİ

Yıl 2006, Cilt: 20 Sayı: 1, 71 - 87, 27.11.2010

Özlem Ayvaz

Öz

Özet: Bu çalışmada Türkiye ekonomisine ait GSMH, tüketim, ihracat ve
ithalat serilerinin gösterdiği mevsimsel yapı araştırılmıştır. 1989:1-2004:4 yılları
arasında üçer aylık olarak alınan bu serilerin, stokastik mevsimsellik mi yoksa
deterministik mevsimsellik mi gösterdiği tespit edilmeye çalışılmıştır. Serilerin
mevsimsel frekanslarda birim köklere sahip olup olmadığını belirlemek için
HEGY (1990) tarafından geliştirilen mevsimsel birim kök testine
başvurulmuştur. Elde edilen sonuçlara göre, tüketim serisinde stokastik
mevsimsellik, GSMH ve ihracat serisinde yarı yıllık ve yıllık frekanslarla
mevsimsel birim kök ve ithalat serisinde mevsimsel olmayan birim kök vardır.
Anahtar Kelimeler: Stokastik mevsimsellik, deterministik
mevsimsellik, HEGY testi

 

Abstract: In this paper, the seasonal structure of the series of Gross
National Product, consumption, export and import of Turkish economy were
investigated. These series were taken quarterly between the years 1989:1-
2004:4, and this study attempts to determine whether these series possess a
stochastic or deterministic seasonality. The seasonal unit root test developed by
HEGY (1990) was applied to determine whether or not series have unit roots at
the seasonal frequencies. As a result, the consumption series have stochastic
seasonality, Gross National Product and export series have seasonal unit root at
annual and semi-annual frequencies and import series have non-seasonal unit
root.
KeywordS: Stochastic seasonality, deterministic seasonality, HEGY
test

Anahtar Kelimeler

Stokastik mevsimsellik, deterministik mevsimsellik, HEGY testi

Kaynakça

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