TY  - JOUR
TT  - SEASONAL ERROR CORRECTION MODELS FOR MACROECONOMIC VARIABLES: THE CASE OF TURKISH ECONOMY
AU  - Özmen, Mehmet
AU  - Şanlı, Sera
PY  - 2018
DA  - December
JF  - EUropean Journal of Managerial Research (EUJMR)
JO  - Turkçe ve İngilizce
PB  - Himmet KARADAL
WT  - DergiPark
SN  - 2602-4179
SP  - 23
EP  - 42
VL  - 2
IS  - 3
LA  - en
KW  - EGHL
KW  - Gross Domestic Product
KW  - HEGY
KW  - Seasonal Cointegration
KW  - Seasonal Error Correction Model
N2  - In this research, it has been aimed to examine seasonal long-termrelationships and to estimate seasonal error correction model (SECM) which isthe second step in the presence of cointegrating relationships for quarterlyGross Domestic Product (GDP), Gross Fixed Capital Formation (INV), Imports(IMP), Consumption of Resident Households (CONS) and Government FinalConsumption Expenditures (GOV) variables for Turkey covering 1998Q1-2017Q3period. HEGY(1990) approach has been utilized for seasonal unit root analysesand seasonal error correction mechanisms have been estimated based on the studyof Engle, Granger, Hylleberg, Lee (EGHL) (1993). Findings have revealed thatwhen 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 atone period. Based on SECM(2) estimation at ½ frequency, 30.9% of deviationsfrom IMP will disappear at one period under 10% significance level. At ¼frequency, SECM(1) results for GOV and CONS dependent variables have shown thatapproximately 55% of deviations from long-run equilibrium in both variableswill 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”.
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UR  - https://dergipark.org.tr/tr/pub/eujmr/issue//494546
L1  - https://dergipark.org.tr/tr/download/article-file/599349
ER  -