SEASONAL ERROR CORRECTION MODELS FOR MACROECONOMIC VARIABLES: THE CASE OF TURKISH ECONOMY

Yıl 2018, Cilt: 2 Sayı: 3, 23 - 42, 31.12.2018

Mehmet Özmen Sera Şanlı

Öz

In this research, it has been aimed to examine seasonal long-term
relationships and to estimate seasonal error correction model (SECM) which is
the second step in the presence of cointegrating relationships for quarterly
Gross Domestic Product (GDP), Gross Fixed Capital Formation (INV), Imports
(IMP), Consumption of Resident Households (CONS) and Government Final
Consumption Expenditures (GOV) variables for Turkey covering 1998Q1-2017Q3
period. HEGY(1990) approach has been utilized for seasonal unit root analyses
and seasonal error correction mechanisms have been estimated based on the study
of Engle, Granger, Hylleberg, Lee (EGHL) (1993). Findings have revealed that
when dependent variable is INV, SECM(3) has worked at 1/2 frequency and 38.9%
of deviations from long-run equilibrium in INV variable will be corrected at
one period. Based on SECM(2) estimation at ½ frequency, 30.9% of deviations
from IMP will disappear at one period under 10% significance level. At ¼
frequency, SECM(1) results for GOV and CONS dependent variables have shown that
approximately 55% of deviations from long-run equilibrium in both variables
will disappear at one period. ECM has not worked for dependent variable “GOV”
at ¾ frequency depending upon the positive value of error correction term.
Additively, SECM(2) has been working at ¼ frequency for dependent variable
“IMP”.  

Anahtar Kelimeler

EGHL, Gross Domestic Product, HEGY, Seasonal Cointegration, Seasonal Error Correction Model

Kaynakça

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