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Modelling Gross Domestic Product Series in Turkey

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

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. 

References

  • Ayvaz, Ö. (2006). Mevsimsel birim kök testi. Atatürk University - Journal of the Faculty of Economic and Administrative Sciences, 20, 1-87. Baltagi, B. (Ed.). (2001). A companion to theoretical econometrics. Oxford: Blackwell Publishers.
  • Beaulieu, J. J., & Miron, J. A. (1993). Seasonal unit roots in aggregate U.S. data. Journal of Econometrics, 55(1-2), 305-328.
  • Caner, M. (1998). A locally optimal seasonal unit-root test. Journal of Business and Economic Statistics, 16, 349-356.
  • Canova, F., & Hansen, B.E. (1995). Are seasonal patterns constant over time? A test for seasonal stability. Journal of Business and Economic Statistics, 13(3), 237-252.
  • Charemza, W. W., & Deadman, D. F. (1992). New directions in econometric practice: General to specific modelling, cointegration and vector autoregression (1st ed.). Aldershot, UK: Edward Elgar Publishing Limited.
  • Chirico, P. (2012). Deterministic or stochastic seasonality in daily electricity prices. In Coop. Libraria Editrice Universita di Padova (Ed.), Proceedings of the 46th Scientific Meeting of the Italian Statistical Society (pp. 1-4). Roma: University of Padova.
  • Coşar, E. E. (2006). Seasonal behaviour of the consumer price index of Turkey. Applied Economics Letters, 13, 449-455.
  • Dıaz-Emparanza, I., & López-de-Lacalle, J. (2006). Testing for unit roots in seasonal time series with R: The uroot package. Retrieved May 10, 2015, from http://www.jalobe.com:8080/doc/uroot.pdf
  • Dickey, D., Hasza, D., & Fuller, W. (1984). Testing for unit roots in seasonal time series. Journal of the American Statistical Association, 79, 355-367.
  • Gagea, M. (2007). Identifying the nature of the seasonal component: Application for Romania's quarterly exports between 1990-2006. Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, 54, 154-159.
  • Ghysels, E., & Osborn, D. R. (2001). The econometric analysis of seasonal time series. Cambridge: Cambridge University Press.
  • Ghysels, E., Lee, H. S., & Noh, J. (1994). Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation. Journal of Econometrics, 62, 415- 442.
  • Gürel, S. P., & Tiryakioğlu, M. (2012). Seasonal unit root: An application to Turkish industrial production series. Business and Economics Research Journal, 3(4), 77- 89.
  • Hannan, E. J., Terrell, R. D., & Tuckwell, N. E. (1970). The seasonal adjustment of economic time series. International Economic Review, 11, 24-52.
  • Harvey, A. C. (1989). Forecasting structural time series models and the kalman filter. Cambridge: Cambridge University Press.
  • Hylleberg, S., Engle, R., Granger, C., & Yoo, S. (1990). Seasonal integration and cointegration. Journal of Econometrics, 44, 215-238.
  • King, M. L., & Hillier, G. H. (1985). Locally best invariant tests of the error covariance matrix of the linear regression model. Journal of the Royal Statistical Society, Ser. B, 47(1), 98–102.
  • Kunst, R. M. (2012, March 6). Econometrics of seasonality. Retrieved July 28, 2015, from University of Vienna, Institute for Advanced Studies Web site: http://homepage.univie.ac.at/robert.kunst/season12.pdf
  • Kwiatkowski, D., Phillips, P. C. B., 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, 159- 178.
  • Lenten, L. J., & Moosa, I. A. (1999). Modelling the trend and seasonality in the consumption of alcoholic beverages in the United Kingdom. Applied Economics, 31(7), 795-804.
  • Leong, K. (1997). Seasonal integration in economic time series. Mathematics and computers in simulation, 43, 413-419.
  • Lim, C., & McAleer, M. (2000). A seasonal analysis of Asian tourist arrivals to Australia. Applied Economics, 32(4), 499-509.
  • Osborn, D.R., Chui, A. P. L., Smith, J. P., & Birchenhall, C. R. (1988). Seasonality and the order of integration for consumption. Oxford Bulletin of Economics and Statistics, 50, 361-377.
  • Ozcan, C. (1994). Trends, cycles and seasonality in industrial production and price indices for Turkey: Forecasting with structural models (unobserved component model) and detrending with HP filter. CBRT Discussion Paper, No. 9403. Retrieved May 28, 2015, from http://www.tcmb.gov.tr/wps/wcm/connect/7bda9685-dde5-4ec8-9cea50bc517bf0a9/9403eng.pdf?MOD=AJPERES&CACHEID=7bda9685-dde5-4ec8- 9cea-50bc517bf0a9
  • Şanlı, S. (2015). The econometric analysis of seasonal time series: Applications on some macroeconomic variables. Master’s Thesis, Cukurova University, Adana.
  • Tam, W. K., & Reinsel, G. C. (1997). Tests for seasonal moving average unit root in ARIMA models. Journal of the American Statistical Association, 92(438), 725- 738.
  • Tam, W. K., & Reinsel, G. C. (1998). Seasonal moving-average unit root tests in the presence of a linear trend. Journal of Time Series Analysis, 19(5), 609-625.
  • Türe, H., & Akdi, Y. (2005, May). Mevsimsel kointegrasyon: Türkiye verilerine bir uygulama. Paper presented at the 7. National Econometrics and Statistics Symposium, Istanbul University.
Year 2016, Volume: 20 Issue: 1, 187 - 208, 30.06.2016

Abstract

References

  • Ayvaz, Ö. (2006). Mevsimsel birim kök testi. Atatürk University - Journal of the Faculty of Economic and Administrative Sciences, 20, 1-87. Baltagi, B. (Ed.). (2001). A companion to theoretical econometrics. Oxford: Blackwell Publishers.
  • Beaulieu, J. J., & Miron, J. A. (1993). Seasonal unit roots in aggregate U.S. data. Journal of Econometrics, 55(1-2), 305-328.
  • Caner, M. (1998). A locally optimal seasonal unit-root test. Journal of Business and Economic Statistics, 16, 349-356.
  • Canova, F., & Hansen, B.E. (1995). Are seasonal patterns constant over time? A test for seasonal stability. Journal of Business and Economic Statistics, 13(3), 237-252.
  • Charemza, W. W., & Deadman, D. F. (1992). New directions in econometric practice: General to specific modelling, cointegration and vector autoregression (1st ed.). Aldershot, UK: Edward Elgar Publishing Limited.
  • Chirico, P. (2012). Deterministic or stochastic seasonality in daily electricity prices. In Coop. Libraria Editrice Universita di Padova (Ed.), Proceedings of the 46th Scientific Meeting of the Italian Statistical Society (pp. 1-4). Roma: University of Padova.
  • Coşar, E. E. (2006). Seasonal behaviour of the consumer price index of Turkey. Applied Economics Letters, 13, 449-455.
  • Dıaz-Emparanza, I., & López-de-Lacalle, J. (2006). Testing for unit roots in seasonal time series with R: The uroot package. Retrieved May 10, 2015, from http://www.jalobe.com:8080/doc/uroot.pdf
  • Dickey, D., Hasza, D., & Fuller, W. (1984). Testing for unit roots in seasonal time series. Journal of the American Statistical Association, 79, 355-367.
  • Gagea, M. (2007). Identifying the nature of the seasonal component: Application for Romania's quarterly exports between 1990-2006. Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, 54, 154-159.
  • Ghysels, E., & Osborn, D. R. (2001). The econometric analysis of seasonal time series. Cambridge: Cambridge University Press.
  • Ghysels, E., Lee, H. S., & Noh, J. (1994). Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation. Journal of Econometrics, 62, 415- 442.
  • Gürel, S. P., & Tiryakioğlu, M. (2012). Seasonal unit root: An application to Turkish industrial production series. Business and Economics Research Journal, 3(4), 77- 89.
  • Hannan, E. J., Terrell, R. D., & Tuckwell, N. E. (1970). The seasonal adjustment of economic time series. International Economic Review, 11, 24-52.
  • Harvey, A. C. (1989). Forecasting structural time series models and the kalman filter. Cambridge: Cambridge University Press.
  • Hylleberg, S., Engle, R., Granger, C., & Yoo, S. (1990). Seasonal integration and cointegration. Journal of Econometrics, 44, 215-238.
  • King, M. L., & Hillier, G. H. (1985). Locally best invariant tests of the error covariance matrix of the linear regression model. Journal of the Royal Statistical Society, Ser. B, 47(1), 98–102.
  • Kunst, R. M. (2012, March 6). Econometrics of seasonality. Retrieved July 28, 2015, from University of Vienna, Institute for Advanced Studies Web site: http://homepage.univie.ac.at/robert.kunst/season12.pdf
  • Kwiatkowski, D., Phillips, P. C. B., 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, 159- 178.
  • Lenten, L. J., & Moosa, I. A. (1999). Modelling the trend and seasonality in the consumption of alcoholic beverages in the United Kingdom. Applied Economics, 31(7), 795-804.
  • Leong, K. (1997). Seasonal integration in economic time series. Mathematics and computers in simulation, 43, 413-419.
  • Lim, C., & McAleer, M. (2000). A seasonal analysis of Asian tourist arrivals to Australia. Applied Economics, 32(4), 499-509.
  • Osborn, D.R., Chui, A. P. L., Smith, J. P., & Birchenhall, C. R. (1988). Seasonality and the order of integration for consumption. Oxford Bulletin of Economics and Statistics, 50, 361-377.
  • Ozcan, C. (1994). Trends, cycles and seasonality in industrial production and price indices for Turkey: Forecasting with structural models (unobserved component model) and detrending with HP filter. CBRT Discussion Paper, No. 9403. Retrieved May 28, 2015, from http://www.tcmb.gov.tr/wps/wcm/connect/7bda9685-dde5-4ec8-9cea50bc517bf0a9/9403eng.pdf?MOD=AJPERES&CACHEID=7bda9685-dde5-4ec8- 9cea-50bc517bf0a9
  • Şanlı, S. (2015). The econometric analysis of seasonal time series: Applications on some macroeconomic variables. Master’s Thesis, Cukurova University, Adana.
  • Tam, W. K., & Reinsel, G. C. (1997). Tests for seasonal moving average unit root in ARIMA models. Journal of the American Statistical Association, 92(438), 725- 738.
  • Tam, W. K., & Reinsel, G. C. (1998). Seasonal moving-average unit root tests in the presence of a linear trend. Journal of Time Series Analysis, 19(5), 609-625.
  • Türe, H., & Akdi, Y. (2005, May). Mevsimsel kointegrasyon: Türkiye verilerine bir uygulama. Paper presented at the 7. National Econometrics and Statistics Symposium, Istanbul University.
There are 28 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Mehmet Özmen This is me

Sera Şanlı This is me

Publication Date June 30, 2016
Submission Date June 1, 2016
Published in Issue Year 2016 Volume: 20 Issue: 1

Cite

APA Özmen, M., & Şanlı, S. (2016). Modelling Gross Domestic Product Series in Turkey. Çukurova Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 20(1), 187-208.