SATIN ALMA GÜCÜ PARİTESİNİN GEÇERLİLİĞİNİN SIFIR FREKANSTA SPEKTRUM TAHMİNCİSİNE DAYANAN BİRİM KÖK TESTLERİ İLE İNCELENMESİ

Year 2006, Volume: 20 Issue: 1, 121 - 137, 27.11.2010

Ebru Çağlayan İrem Saçaklı

Abstract

Serilerde birim kökün varlığının için test edilmesinde, varolan
Dickey-Fuller birim kök testlerinin yanında spektral tahmin yöntemlerine
dayanan birim kök testleri de bulunmaktadır. Bu testler sıfır frekansta spektrum
tahmincisine dayanmaktadır. Bu çalışmada amaç, satın alma gücü paritesinin
geçerliliği hem Türkiye hem de Birleşik Krallık için Phillips-Perron ( PP,1988),
Kwiatkowski, Phillips, Schmidt ve Shin (KPSS, 1992) ve Elliot, Rothenberg ve
Stock Nokta Optimum (ERS, 1996) testleri ile analiz etmek ve test sonuçlarını
karşılaştırmaktır. Çalışmada mutlak satın alma gücü paritesinin hem Türkiye
hem de Birleşik Krallık için geçerli olmadığı sonucuna varılmıştır.

Keywords

PP Testi, KPSS Testi, ERS Testi, Satın Alma Gücü Paritesi, sıfır frekansta spektrum tahmincisi

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