AN APPLICATION ON SYSTEMATIC SAMPLING, AVERAGE SAMPLING AND SEASONAL UNIT ROOTS

Year 2017, Volume: 22 Issue: 1, 213 - 220, 30.01.2017

Sinem Eyüboğlu Zehra Abdioğlu

Abstract

In this study, it was investigated the effects of systematic sampling and average sampling which, viewed as a type of temporal aggregation, on the findings of seosanal unit root tests. Beaulieu and Miron (1993)’s monthly seasonal unit root test and Hylleberg, Engle, Granger ve Yoo (1990)’s the quarterly seasonal unit root tests were used to examine the effects of temporal aggregation on seasonal unit root proces of stock (monetary supply) and flow (import) variables. According to the results, different types of temporal aggregation provide similar result for seasonal unit roots. However, the seasonal unit root tests have presented different findings in terms of stock and flow variables.

Keywords

Temporal Aggregation, Seasonal Unit Root, HEGY Test

SİSTEMATİK ÖRNEK, ORTALAMA ÖRNEK VE MEVSİMSEL BİRİM KÖKLER ÜZERİNE BİR UYGULAMA

Abstract

Bu çalışmada zamansal toplulaştırma çeşitleri olan sistematik örnek ve ortalama örnek yaklaşımlarının mevsimsel birim kök testlerinin bulguları üzerindeki etkileri araştırılmıştır. Beaulieu and Miron (1993)’un aylık mevsimsel birim kök testi ve Hylleberg, Engle, Granger ve Yoo (1990)’nun üçer aylık mevsimsel birim kök testi zamansal toplulaştırmanın stok (para arzı) ve akım (ithalat) değişkenlerinin mevsimsel birim kök süreçleri üzerindeki etkilerini incelemek amacıyla kullanılmıştır. Elde edilen bulgulara göre farklı zamansal toplulaştırma biçimleri mevsimsel birim kök testleri için benzer bulgular sağlamıştır. Ancak mevsimsel birim kök testleri stok ve akım değişkenler itibariyle farklı bulgular sunmuştur.

Keywords

Zamansal Toplulaştırma, Mevsimsel Birim Kök, HEGY Testi

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