Seasonal Cointegration Analysis: Example of South Africa

Öz

In this paper, unit root tests and cointegration analysis is discussed with South Africa economic data for the period 1990:01-2013:04. HEGY and periodogram methods were used for unit root tests. Time series has a seasonal unit root result of HEGY and periodogram methods. Cointegration analysis was applied with Engle-Granger and periodogram methods. A comparison is made between the HEGY, the periodogram and the Engle-Granger methods results. Therefore the three methods have been prefered in order to test the unit root and cointegration. 

Anahtar Kelimeler

• Time series,Seasonal unit root,HEGY method,Cointegration,Engle- Granger method,periodogram method

Mevsimsel Kointegrasyon Analizi: Güney Afrika Örneği

Öz

Bu çalışmada 1990:01-2013:04 dönemi Güney Afrika ekonomik verileri için birim kök testleri ve kointegrasyon analizi tartışılmıştır. Birim kök testleri için, HEGY ve periodogram yöntemleri kullanılmıştır. HEGY ve periodogram mevsimsel birim kök testleri sonuçlarına göre zaman serilerde mevsimsel birim kök olduğu tespit edilmiştir. Kointegrasyon analizi ise Engle-Granger ve periodogram yöntemleriyle uygulanmıştır. Bu çalışmada HEGY, periodogram ve EngleGranger yöntemleri ile elde edilen bulgular karşılaştırılmaktadır. Bundan dolayı, bu üç yöntem birim kökü ve kointegrasyonu test etmek amacıyla tercih edilmiştir. 

Anahtar Kelimeler

• Zaman Serileri,Mevsimsel birim kök,HEGY yöntemi,Kointegrasyon,EngleGranger yöntemi,periodogram yöntemi

Kaynakça

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