HEGY SEASONAL UNIT ROOT TEST: AN APPLICATION ON BALANCE OF PAYMENTS IN TURKISH ECONOMY

Year 2015, Volume: 24 Issue: 2, 159 - 174, 31.10.2015

Mehmet Özmen , Sera Şanlı

Abstract

Many data series are often subject to seasonal movements and display regular patterns of ups and downs that recur every year in the same month or quarter. Some factors like climate, festivals, production cycle characteristics, calendar effects (such as Christmas effect in December), timing decisions (the timing of school vacations, ending of university sessions) etc. underlie such repetitive seasonal variations that might differ in magnitude from year to year even they are observed regularly (Hansda, 2012). In order to test these variations, what form of seasonality (deterministic or stochastic) exists in data worked should be determined. That is, modelling seasonality is of great importance. In this paper, it has been aimed to detect the presence of seasonal unit roots on capital and financial accounts of balance of payments by using quarterly data for the periods of 1984Q1–2014Q2 and for this aim HEGY (1990) seasonal unit root testing procedure has been utilized. The results obtained have been thought to be beneficial in determining an optimal policy on foreign economic relations.

Keywords

Deterministic-Stochastic Seasonality, Seasonal Unit Roots, HEGY Test, Capital and Financial Accounts

References

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