Seçilmiş OECD Ülkelerinde GSYİH Durağanlık Sınaması: Keskin ve Yumuşak Kırılmalı Panel Durağanlık Testi

Year 2020, Volume: 5 Issue: 2, 216 - 226, 25.10.2020

Gökhan Konat , Oktay Kızılkaya

Abstract

Makroekonomik bir değişken üzerinde meydana gelebilecek bir şokun etkisinin kalıcı ya da geçici olup olmadığını araştırmak önemli bir konudur. Çünkü şokun etkisi olumsuz bir etkiye sebep olabilmekte ve bu durum değişkenin seyrini etkileyebilmektedir. Bu nedenle politika yapıcılar için makro ekonomik değişkenlerden biri olan büyüme serisinin uzun dönemde nasıl bir trend izlediğini tahmin etmek önem arz etmektedir. Bu amaçla çalışmada, 1970-2019 dönemi yıllık veriler kullanılarak 28 OECD ülkesi için kişi başı reel GSYİH’nın durağan olup olmadığını araştırılmıştır. Ekonometrik yöntem olarak yapısal kırılmaları dikkate almayan ve Pesaran (2006) tarafından geliştirilen CADF ve CIPS testleri ile keskin ve yumuşak kırılmaları dikkate alan Li vd. (2015) panel birim kök testi kullanılmıştır. Elde edilen sonuçlar kişi başı reel GSYİH serisinin Avusturalya, Avusturya, Fransa, Meksika, Yeni Zelanda, Güney Kore ve İsveç için durağan olduğunu göstermektedir.

Keywords

Kişi Başına Reel GSYİH, Panel Veri Analizi, Birim Kök Testi, Yapısal Kırılma

References

• Aslanidis, N. & Fountas S. (2014). Is Real GDP Stationary? Evidence From A Panel Unit Root Test With Cross-Sectional Dependence And Historical Data. Empirical Economics, 46, 101-108.
• Bai, J. & Perron P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47–78.
• Becker, R., Enders, W. & Lee, J. (2004). A general test for time dependence in parameters. Journal of Applied Econometrics, 19, 899–906.
• Becker, R., Enders, W. & Lee, J. (2006). A stationairy test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381–409.
• Campbell, J.Y. & Mankiw N.G. (1987). Are output fluctuations transitory?, Quarterly Journal of Economics, 102: 857-888.
• Carrion‐i‐Silvestre, J., L., Barrio‐Castro, D. & López‐Bazo, E. (2005). Breaking the Panels: An Application to the GDP Per Capita. The Econometrics Journal, 8(2), 159-175.
• Chang, T., Chang, H.L., Chu, H.P., & Su, C.W. (2006). Is Per Capita Real GDP Stationary in African Countries? Evidence from Panel SURADF Test. Applied Economics Letters, 13, 1003-1008.
• Chang, T., Lee, K., Kang, S., & Liu, W. (2008). Is Per Capita Real GDP Stationary in Latin American Countries? Evidence From A Panel Stationary Test With Structural Breaks. Economics Bulletin, 3(31), 1-12.
• Chang, H., Su, C., & Zhu, M., (2010). Is Middle East Countries Per Capita Real GDP Stationary? Evidence From Non-Linear Panel Unit Root Tests. Middle Eastren Finance and Economics, Issue: 6, 64-76.
• Chang, T., Liu, W. C., Tzeng, H. W. & Yu, C. P. (2010). Purchasing Power Parity for G-7 Countries: Panel SURADF Tests, Applied Economics Letters, 17:12, 1517-1523.
• Chang, H., Su, C., & Zhu, M., (2010). Is Middle East Countries Per Capita Real GDP Stationary? Evidence From Non-Linear Panel Unit Root Tests. Middle Eastren Finance and Economics, Issue: 6, 64-76.
• Chang, T. (2011). Is Per Capita Real GDP Stationary? An Empirical Note for 16 Transition Countries. International Journal of Business and Economics, 10 (1), 81-86.
• Chang, H.L. & Su, C.W. (2011). Is Per Capita Real Gdp Stationary? Non-Linear Panel Unit-Root Tests From Eastern-European Countries. Journal of Economics and Business, Volume: XIV, No: 2, 65-74.
• Chang, H.L., Su, C.W. & Zhu, M.N. (2011). Flexible Fourier Stationary Test in GDP Per Capita for Central Eastern European Countries. Zb. Rad. Ekon. Fak. Rij, 29 (1), pp: 51-63.
• Chang, T., H‐P. Chu & Ranjbar. O. (2014). Are GDP Fluctuations Transitory or Permanent in African Countries? Sequential Panel Selection Method. International Review of Economics and Finance, 29: 380‐399.
• Chen, S.W. (2008). Are 19 Developed Countries’ Real Per Capita GDP Level Nonstationary? A Revisit. Economics Bulletin, 3, 1-11.
• Cuestas, J.C. & Garratt, D. (2011). Is real GDP per capita a stationary process? smooth transitions, nonlinear trends and unit root testing. Empir. Econ. 41, 555–563.
• Çınar, S. (2010). OECD Ülkelerinde Kişi Başına GSYİH Durağan mı? Panel Veri Analizi. Marmara Üniversitesi İİBF Dergisi, Cilt: XXIX, Sayı: II: 591‐601.
• Enders, W. & Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
• Esen, E. (2014). Reel Çıktıdaki Dalgalanmalar Geçici mi Yoksa Kalıcı mı? OECD Ülkeleri için Bir Panel Veri Analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, Ağustos 2014, 9(2), 7‐ 23.
• Fleissig, A.R. & Strauss, J. (1999). Is OECD Real Per Capita GDP Trend Or Difference Stationary? Evidence From Panel Unit Root Test. Journal of Macroeconomics, 21(4), 673-690.
• Furuoka, F. (2011). Is GDP in ASEAN Countries Stationary? New Evidence from Panel Unit Root Tests. Economics Bulletin, Vol. 31 No.2: 1391‐1400.
• Güloğlu, B. & Ivrendi M. (2010). Output Fluctuations: Transitory or Permanent? The Case of Latin America. Applied Economics Letters, 17(4): 381–386.
• Hadri, K. & Rao Y. (2009). Are OECD Macroeconomic Variables Trend Stationary? Evidence From Panel Stationarity Tests Allowing for a Structural Break and Cross‐ Sectional Dependence, The Singapore Economic Review. 54(03), 427-440.
• Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115(1), 53-74.
• Kwiatkowski, D., Phillips, P. C., 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.
• Li, J.P., Ranjbar, O. & Chang, T. (2015). Unemployment Hysteresis in Piigs Countries: A New Test With Both Sharp and Smooth Breaks. The Singapore Economic Review, 60(4) 1-13.
• Murthy, V. N. R. & Anoruo, E. (2009). Are Per Capita Real GDP Series in African Countries Non‐stationary or Non‐linear? What does Empirical Evidence Reveal?, Economics Bulletin, 2492‐2504.
• Narayan, P.K. (2007). Are GDP Per Capita Real GDP Levels Non-stationary, 1870–2001? Japan and the World Economy, 19, 374–379.
• Nelson, C. & Plosser, C. (1982). Trends and Random Walks in Macroeconomic Time Series. Journal of Monetary Economics, 10: 139–162.
• Öztürk, I. & Kalyoncu, H. (2007). Is Per Capita Real GDP Stationary in the OECD Countries? Evidence from a Panel Unit Root Test. Ekonomski Pregled, 58(11), pp. 680688.
• Pesaran, M. H. (2006). Estimation and İnference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012.
• Pesaran, M. H. (2007). A Simple Panel Unit Root Test in the Presence of Cross‐Section Dependence. Journal of Applied Econometrics, 22(2), 265-312.
• Pesaran, M. H. ve Yamagata, T., (2008). Testing Slope Homogeneity in Large Panels, Journal of Econometrics, 142, 50–93.
• Shen, P‐L., C‐W. Su, & H‐L. Chang (2013). Are Real GDP Levels Nonstationary Across Central and Eastern European Countries?. Baltic Journal of Economics 13(1): 99‐108.
• Smyth, R. (2003). Is There a Unit Root in Per Capita Real GDP? Panel Data Evidence from Chinese Provinces. Asian Profile, 31, 289–295.
• Solarin, S., & Anoruo, E. (2015). Nonlinearity and the Unit Root Hypothesis for African Per Capita Real GDP. International Economic Journal, 29(4), 617–630.
• Strauss, J., 2000. Is there a Permanent Component in US Real GDP, Economics Letters, 66:137-142.
• Tiwari, A. K., A. Chaudhari & K. G. Suresh (2012), “Are Asian Per Capita GDP Stationary? Evidence from First and Second Generation Panel Unit RootTests”, Transit Stud. Rev. (2012) 19: 3–11.
• Tülümce, S. Y. & Zeren F. (2013). Is The Real Per Capita GDP Stationary in the European Union Member States? New Evidence From the Unit Root Test in Nonlinear Heterogeneous Panel. NWSA-Social Sciences, 3C0112, 8, (3), 106-115.
• Zeren, F. & İşlek H., (2019). Is Per Capita Real GDP Stationary in the D-8 Countries? Evidence from a Panel Unit Root Test. Selected Topiccs in Applied Econometrics, SBN:978-3-631-79571-2.