AB Ülkelerinin Yakınsaması: Suradf ve Surkss Birim Kök Testi

Yıl 2019, Sayı: 31, 63 - 75, 31.12.2019

Gökhan Konat , Mustafa Gökçe Fatma Kızılkaya

Öz

Yakınsama hipotezinin temeli Solow (1956)’a dayanmaktadır. Neo klasik büyüme teorisi yaklaşımları içerisinde yer alan bu hipoteze göre az gelişmiş ülkelerin gelirleri, bir süre sonra gelişmiş ülkelerin seviyesine ulaşacaktır. Az gelişmiş ülkelerin gelirlerinin, gelişmiş ülkelerin gelirlerine yakınsaması hipotezi literatürde sıklıkla sınanan bir hipotezdir. Günümüzdeki büyüme modellerinin çoğu doğrudan ya da dolaylı olarak Solow modelidir. Her ne kadar basit bir model olsa da, Solow modelinin birçok avantajı vardır. Ayrıca büyüme modellerinin çoğu doğrudan ya da dolaylı olarak Solow modeline dayanmaktadır. Literatürde sınanan birden fazla yakınsama türü vardır. Başlangıçta yakınsama yatay kesit regresyon analizine dayalı olarak test edilmiştir. Bu yöntemin eksiklikleri zaman serisi tekniğini temel alan analizlere yöneltmiştir. Yakınsama hipotezinin farklı türleri ekonometrik olarak sınanabilmektedir. Çalışmada AB üyesi ülkelerin 1960-2018 dönemini kapsayan yıllık gelir serilerinin yakınsaması incelenmiştir. Bu çalışmada yakınsama türlerinden biri olan stokastik yakınsama hipotezi SUR modellerine dayanan panel birim kök testleri ile sınanmıştır. Bu panel birim kök testleri yatay kesit bağımlılığını dikkate alan ve panelin her birimi için ayrı ayrı yorum yapılmasına imkân veren ikinci nesil panel birim kök testleridir. Bu çalışmada AB üyesi ülkelerin AB’nin grup ortalamasına yakınsadığı sonucuna ulaşılmıştır.

Anahtar Kelimeler

Yakınsama, panel birim kök, SURADF, SURKSS

Destekleyen Kurum

Yazarlar bu çalışma için finansal destek almamışlardır.

Convergence of EU Countries: SURADF and SURKSS Unit Root Test

Öz

The basis of the convergence hypothesis is based on Solow (1956). According to this hypothesis within the neo-classical growth theory approaches, the income of the less developed countries will reach the level of developed countries after a while. The hypothesis of convergence of incomes of underdeveloped countries to incomes of developed countries is a hypothesis frequently tested in the literature. Most of the current growth models are the Solow model, directly or indirectly. Although it is a simple model, the Solow model has many advantages. Moreover, most of the growth models are, directly or indirectly, based on the Solow model. In this study, the convergence of annual income series of the EU member countries, covering the period of 1960-2018, was examined. In this study, the stochastic convergence hypothesis, one of the convergence types, was tested with panel unit root tests based on SUR models. The SURADF and SURKSS panel unit root tests are second generation panel unit root tests. The SURADF and SURKSS panel unit root tests take into account the cross-sectional dependency, and allow for an explanation of each unit separately. In this study, it was concluded that EU member countries converged to the EU’s group average.

Anahtar Kelimeler

Convergence, panel unit root, SURADF, SURKSS

Kaynakça

• Barro, R. J., & Sala-i-Martin, X. (1992). Convergence, Journal of Political Economy, 100, 223–251
• Baumol, W. J. (1986). Productivity growth, convergence and welfare: What the long-run data show? The American Economic Review, 76(5), 1072–1085.
• Bernard, A. B., & Durlauf, S. N. (1996). Interpreting tests of the convergence hypothesis. Journal of Econometrics, 71, 161–173.
• Brada, J. C., Kutan, A. M., & Zhou, S. (2003). Real and monetary convergence between the european union and transition-economy candidate countries: Market ıntegration and policy coordination. Forthcoming in Journal of Banking and Finance.
• Breuer, J. B., Mcnown, R., & Wallace, M. S. (2001). Misleading Inferences from panel unit‐root tests with an illustration from purchasing power parity. Review of International Economics, 9(3), 482–493.
• Breuer, J. B., Mcnown, R., & Wallace, M. (2002). Series‐specific unit root tests with panel data. Oxford Bulletin of Economics and Statistics, 64(5), 527–546.
• Ceylan, R., & Abiyev, V. (2016). An examination of convergence hypothesis for EU-15 countries. International Review of Economics and Finance, 45, 96–105.
• Chang, T., Lee, C. H., Chou, P., & Wang, S. C. (2012). Purchasing Power Parity for Transition Countries. Eastern European Economics, 50(4), 42–59.
• Costantini, M., & Lupi, C. (2005). Stochastic convergence among European economies. Economics Bulletin, 3(38), 1−17.
• Estrin, S., Urga, G., & Lazarova, S. (2001). Testing for ongoing convergence in transition economies: 1970 to 1998. Journal of Comparative Economics, 29(4), 677–691.
• Gadea Rivas, M. D., & Sanz Villarroya, I. (2017). Testing the convergence hypothesis for OECD countries: A reappraisal. Economics: The Open-Access, Open-Assessment E-Journal, 11(4), 1–22. Doi: 10.5018/economics-ejournal.ja.2017-4
• Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(7), 53–74. Kocenda, E. (2001). Macroeconomic convergence in transition economies. Journal of Comparative Economics, 29(1), 1–23.
• Kollias, C., & Messis, P. (2019). Are future enlargement candidate countries converging with the EU? Empirica, 1–21. Doi: 10.1007/s10663-019-09442-9
• Kutan, A. M., & Yigit, T. M. (2004). Nominal and real stochastic convergence within the transition economies: panel evidence. Journal of Comparative Economics, 32, 23–36.
• Li, Q., & Papell, D. (1999). Convergence of international output time series evidence for 16 OECD countries. International Review of Economics & Finance, 8(3), 267–280.
• Margaritis, D., Fare, R., & Grosskopf, S. (2007). Productivity, convergence and policy: A study of OECD countries and industries, Journal of Productivity Analysis, 28(1-2), 87–105.
• Meng, M., Payne, J. E., & Lee, J. (2013). Convergence in per capita energy use among OECD countries. Energy Economics, 36, 536–545.
• Mishra, A., & Mishra, V. (2018). Re-examination of convergence hypothesis among Indian states in panel stationarity testing framework with structural breaks, Applied Economics, 50(3), 268–286.
• Reza, R., & Zahra, K. T. (2008). Evaluation of the income convergence hypothesis in ten new members of the European Union. A Panel Unit Root Approach. Panoeconomicus, 2, 157–166.
• Rivas, M.-D. G., & Villarroya, I. S. (2017). Testing the convergence hypothesis for OECD Countries. A reappraisal. Economics, 11(4), 1–23.
• Solow, R. M. (1956). A contribution to the theory of economic growth. The quarterly journal of economics, 70(1), 65–94.
• Sonderman, D. (2012). Productivitiy in the euro area any evidence of convergence. European Central Bank, Working Paper Series, 1431, April.
• Strazicich, M. C., Lee, J., & Day, E. (2004). Are incomes converging among OECD countries? Time series evidence with two structural breaks. Journal of Macroeconomics, 26(1), 131–145.
• Timakova, M. V. (2011). Conditional convergence and the Solow model: An empirical study. Retrieved from Erasmus University Thesis Repository. http://thesis.eur.nl/
• Yılancı, V. (2012). Mean reversion in stock prices of G7 countries: Evidence from panel SURADF and panel SURKSS tests. Actual Problems of Economics, 5, 380.
• Wu, J. L., & Lee, H. Y. (2009). A revisit to the non-linear mean reversion of real exchange rates: evidence from a series-specific non-linear panel unit-root test. Journal of Macroeconomics, 31(2009), 591–601.
• Zellner, A. (1962). An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. Journal of the American Statistical Association, 57, 348–368.