Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar

Öz

İktisat politikaların temel amacı sürdürülebilir ve dengeli büyümeyi sağlamaktadır. Uygulanan ekonomik politikalarının etkinliğinin gözlemlendiği makroekonomik değişken ise gayrisafi yurtiçi hâsıladır. Bu çalışmada 1970–2018 döneminde Avusturya, Belçika, Kanada, Şili, Danimarka, Fransa, Almanya, Yunanistan, İtalya, Hollanda, Norveç, Meksika, İspanya, İsveç, İsviçre, Birleşik Krallık ve Amerika Birleşik Devletleri’nden oluşan panelde ortak faktör olarak brüt sermaye oluşumu, küreselleşme endeksi ve mülteci nüfusu, temel değişken olarak kişi başı reel gayrisafi yurtiçi hasılanın çok faktörlü hata yapısı varlığında durağan olup olmadığı test edilmektedir. Bu amaçla Lee vd. (2016) tarafından geliştirilen test kullanılmıştır. Bu test, Pesaran vd. (2013) tarafından önerilen yatay-kesitsel olarak genişletilmiş panel birim kök testinin (CIPS) genişletilmiş hali olup Fourier fonksiyonları ile modellenen deterministik terimlerdeki yumuşak yapısal değişimleri yakalamayı amaçlamaktadır. Burada önerilen istatistik, kırılma ile genişletilmiş CIPS (BCIPS) istatistiği olarak adlandırılmıştır. BCIPS panel birim kök testi, değişkenler arasındaki yatay kesit bağımlılığını hesaba katan ikinci nesil bir birim kök testidir. Ampirik analiz sonuçlarına göre Klasik iktisadın konjonktürel dalgalanmaların deterministik bir trend etrafında durağan dalgalanmalar olduğu öngörüsünü desteklemektedir.

Anahtar Kelimeler

• GSYİH
• Çok Faktörlü Hata
• Fourier
• BCIPS
• Panel Birim Kök

GDP Stationarıity Test By Smooth Breaks in The Presence of A Multifactor Error Structure: Evidence From OECD Countries

Öz

The main purpose of economic policies is to ensure sustainable and balanced growth. The macroeconomic variable in which the effectiveness of the applied economic policies is observed is the gross domestic product. In this study, it is tested whether the gross capital formation, globalization index and the refugee population as common factors in the panel composed of the Austria, Belgium, Canada, Chile, Denmark, France, Germany, Greece, Italy, Netherlands, Norway, Mexico, Spain, Sweden, Switzerland, United Kingdom and United States of America in the period of 1970-2018 and the real gross domestic product per capita as the main variable are stable in the presence of a multi-factor error structure. For this purpose, test developed by Lee (2016) were used. This test is an extension of the cross-sectional expanded panel unit root test (CIPS) proposed by Pesaran (2013) and aims to capture smooth structural changes in deterministic terms modeled by Fourier functions. The statistic proposed here is called the CIPS (BCIPS) statistic extended by break. BCIPS panel unit root test is a second generation unit root test that takes into account the cross sectional dependency between variables. According to the results of empirical analysis, it supports the prediction that cyclical fluctuations of classical economics are stable fluctuations around a deterministic trend.

Anahtar Kelimeler

• GDP
• Multifactor Error
• Fourier
• BCIPS
• Panel Unit Root

Kaynakça

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