Modelling Gross Domestic Product Series in Turkey

Year 2016, Volume: 20 Issue: 1, 187 - 208, 30.06.2016

Mehmet Özmen Sera Şanlı

Abstract

All the studies regarding time series methods are useful only in case the series in interest do not display seasonal
patterns. That is why it is of great importance to take the time series properties of the series like seasonal patterns
or trends into account while dealing with economic time series data and the research on what form of seasonality
exists (deterministic or stochastic) in the data in interest and thus the way of modelling seasonality is also crucial
(Türe & Akdi, 2005, p.3). Considering its importance with this respect, in this application, it has been aimed to
decide about which seasonal pattern quarterly GDP (Gross Domestic Product) series displays over 1998Q1-2014Q4
for Turkey by recoursing to DHF (Dickey, Hasza and Fuller) and HEGY (Hylleberg, Engle, Granger and Yoo) test
procedures and it has been mainly focused on the dummy variable and trigonometric representations of
deterministic seasonality. 

Keywords

: Deterministic–stochastic seasonality, dummy variable representation, trigonometric representation, DHF test, HEGY test

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