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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

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.

References

  • Andrews, D.W.K (1991), “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”, Econometrica, 59(3), ss.817 858.
  • Cheung Y.W. ve Lai, K.S.(1998), “Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Periods”, Journal of International Money Finance,17, ss.597 614.
  • Deloach S.B. (1997), “Do Relative Prices of Non-Traded Goods Determine Long-Run Real Exchange Rates?”,The Canadian Journal of Economics, 30(4), ss.891 909.
  • Dickey D.A.ve Fuller W.A.(1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), ss.1057 1072.
  • Dickey, D.A.ve Fuller W.A. (1979), “Distribution of the Estimators for Autoregressive Time Seres With a Unit Root”, Journal of the American Statistical Association, 74, 366, ss.427 431.
  • Doğanlar M. ve Özmen M. (1999), “Gelişmekte Olan Ekonomiler için Reel Döviz Kurunun Durağanlığının Test Edilmesi”, IV. Ulusal Ekonometri ve İstatistik Sempozyum Bildirileri, Antalya, ss. 5 15.
  • Elliot, G., Rothenberg T. J. ve Stock, J.H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64, ss.813 836.
  • Gerber,J., (1999), International Economics, Addison-Wesley Educational Publisher Inc., USA.
  • Gujarati, D.N.(1995), Basic Econometrics, Third Edition, McGraw-Hill, Inc., USA.
  • Hamilton, J. D. (1994), Time Series Analysis, Princeton University Pres, New Jersey.
  • Hobijn, B. (1998), Generalizations of the KPSS Test for Stationary, Econometric Institute Report, no: 9802/A, (http://www.newyorkfed.org/researh /economists/hobijn/kpsstest.pdf)
  • Krugman, P.R. ve Obstfeld M.(1997), International Economics Theory and Policy, Addison-Wesley Educational Publisher Inc, Fourth Edition, USA.
  • Kwiatkowski, D. , Phillips, P.C. B. , Schmidt, P. ve Shin, Y. (1992), “Testing The Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That The Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54, ss.159 178.
  • Luo, R.H.(2003), On Purchasing Power Parity Puzzle: The Case of New Zealand, Faculty of Business Auckland University of Technology, New Zealand.
  • McNown R, Wallace M.S.(1994), “Cointegration Tests of The Monetary Exchange Rate Model for Three High-Inflation Economies”, Journal of Money,Credit and Banking, 26(3), ss.396 411.
  • Newey W.K. ve West K.D. (1994), “Automatic Lag Selection in Covariance Matrix Estimation”, The Review of Economic Studies, 61(4), ss.631 653.
  • Patterson, K.(2000), An Introduction to Applied Econometrics : A Time Series Approach, Palgrave, NewYork .
  • Phillips, P.C. B ve Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), ss.335 346.
  • Robinson, P.M (2004), Robust Covariance Matrix Estimation: “HAC” Estimates with Long Memory/ Antipersistence Correction (personal.lse.ac.uk /robinso1/robust-1.pdf)
  • Wickremasinghe G.B.,(2004), Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka, Monash University, Victoria.
  • Yarbrough B.V ve Yarbrough R.M.,(1997), The World Economy Trade and Finance, The Dryden Press, Fourth Edition, Florida.

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

Abstract

References

  • Andrews, D.W.K (1991), “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”, Econometrica, 59(3), ss.817 858.
  • Cheung Y.W. ve Lai, K.S.(1998), “Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Periods”, Journal of International Money Finance,17, ss.597 614.
  • Deloach S.B. (1997), “Do Relative Prices of Non-Traded Goods Determine Long-Run Real Exchange Rates?”,The Canadian Journal of Economics, 30(4), ss.891 909.
  • Dickey D.A.ve Fuller W.A.(1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), ss.1057 1072.
  • Dickey, D.A.ve Fuller W.A. (1979), “Distribution of the Estimators for Autoregressive Time Seres With a Unit Root”, Journal of the American Statistical Association, 74, 366, ss.427 431.
  • Doğanlar M. ve Özmen M. (1999), “Gelişmekte Olan Ekonomiler için Reel Döviz Kurunun Durağanlığının Test Edilmesi”, IV. Ulusal Ekonometri ve İstatistik Sempozyum Bildirileri, Antalya, ss. 5 15.
  • Elliot, G., Rothenberg T. J. ve Stock, J.H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64, ss.813 836.
  • Gerber,J., (1999), International Economics, Addison-Wesley Educational Publisher Inc., USA.
  • Gujarati, D.N.(1995), Basic Econometrics, Third Edition, McGraw-Hill, Inc., USA.
  • Hamilton, J. D. (1994), Time Series Analysis, Princeton University Pres, New Jersey.
  • Hobijn, B. (1998), Generalizations of the KPSS Test for Stationary, Econometric Institute Report, no: 9802/A, (http://www.newyorkfed.org/researh /economists/hobijn/kpsstest.pdf)
  • Krugman, P.R. ve Obstfeld M.(1997), International Economics Theory and Policy, Addison-Wesley Educational Publisher Inc, Fourth Edition, USA.
  • Kwiatkowski, D. , Phillips, P.C. B. , Schmidt, P. ve Shin, Y. (1992), “Testing The Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That The Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54, ss.159 178.
  • Luo, R.H.(2003), On Purchasing Power Parity Puzzle: The Case of New Zealand, Faculty of Business Auckland University of Technology, New Zealand.
  • McNown R, Wallace M.S.(1994), “Cointegration Tests of The Monetary Exchange Rate Model for Three High-Inflation Economies”, Journal of Money,Credit and Banking, 26(3), ss.396 411.
  • Newey W.K. ve West K.D. (1994), “Automatic Lag Selection in Covariance Matrix Estimation”, The Review of Economic Studies, 61(4), ss.631 653.
  • Patterson, K.(2000), An Introduction to Applied Econometrics : A Time Series Approach, Palgrave, NewYork .
  • Phillips, P.C. B ve Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), ss.335 346.
  • Robinson, P.M (2004), Robust Covariance Matrix Estimation: “HAC” Estimates with Long Memory/ Antipersistence Correction (personal.lse.ac.uk /robinso1/robust-1.pdf)
  • Wickremasinghe G.B.,(2004), Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka, Monash University, Victoria.
  • Yarbrough B.V ve Yarbrough R.M.,(1997), The World Economy Trade and Finance, The Dryden Press, Fourth Edition, Florida.

Details

Primary Language tr;en
Journal Section Makaleler
Authors

Ebru ÇAĞLAYAN This is me


İrem SAÇAKLI This is me

Publication Date November 27, 2010
Published in Issue Year 2006, Volume 20, Issue 1

Cite

APA Çağlayan, E. & Saçaklı, İ. (2010). SATIN ALMA GÜCÜ PARİTESİNİN GEÇERLİLİĞİNİN SIFIR FREKANSTA SPEKTRUM TAHMİNCİSİNE DAYANAN BİRİM KÖK TESTLERİ İLE İNCELENMESİ . Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi , 20 (1) , 121-137 . Retrieved from https://dergipark.org.tr/en/pub/atauniiibd/issue/2689/35351

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