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HEGY SEASONAL UNIT ROOT TEST: AN APPLICATION ON BALANCE OF PAYMENTS IN TURKISH ECONOMY

Year 2015, Volume: 24 Issue: 2, 159 - 174, 31.10.2015

Abstract

Many data series are often subject to seasonal movements and display regular patterns of ups and downs that recur every year in the same month or quarter. Some factors like climate, festivals, production cycle characteristics, calendar effects (such as Christmas effect in December), timing decisions (the timing of school vacations, ending of university sessions) etc. underlie such repetitive seasonal variations that might differ in magnitude from year to year even they are observed regularly (Hansda, 2012). In order to test these variations, what form of seasonality (deterministic or stochastic) exists in data worked should be determined. That is, modelling seasonality is of great importance. In this paper, it has been aimed to detect the presence of seasonal unit roots on capital and financial accounts of balance of payments by using quarterly data for the periods of 1984Q1–2014Q2 and for this aim HEGY (1990) seasonal unit root testing procedure has been utilized. The results obtained have been thought to be beneficial in determining an optimal policy on foreign economic relations.

References

  • Alexander, C., & Jordá, M. C. (1997). Seasonal unit roots in trade variables. IVIE Working papers Serie EC No:13, Instituto Valenciano de Investigaciones Económicas, S.A. Ayvaz, Ö. (2006). Mevsimsel birim kök testi. Atatürk University, Journal of the Faculty of Economic and Administrative Sciences, 20(1), 71-87. Ayvaz Kızılgöl, Ö. (2011). Mevsimsel Eşbütünleşme Testi: Türkiye'nin Makroekonomik Verileriyle Bir Uygulama. Atatürk University, Journal of the Faculty of Economic and Administrative Sciences, 25(2), 13-25. Beaulieu, J.J. & Miron, J.A. (1993). Seasonal Unit Roots in Aggregate US Data. Journal of Econometrics, 55(1), 305-328. Charemza, W.W. & Deadman, D.F. (1992). New Directions in Econometric Practice. 1st Edition, Aldershot:Edward Elgar. Çağlayan, E. (2003). Yaşam boyu sürekli gelir hipotezinde mevsimsellik. Marmara University, Journal of the Faculty of Economic and Administrative Sciences, 18(1), 409-422. Dickey, D.A., Hasza, D.P., & Fuller, W.A. (1984). Testing for Unit Roots in Seasonal Time Series. Journal of American Statistical Association, 79(386), 355-367. Elitok, S.P. (2008). The relationship between trade, growth and the balance of payments: application of balance of payments-constrained growth model to the Turkish economy (1960-2004). A dissertation submitted to the Faculty of the University of Utah for the Degree of Doctor of Philosophy. Department of Economics. Engle, R.F., Granger, C.W.J., Hylleberg, S. & Lee, H.S. (1993). Seasonal cointegration: the Japanese consumption function. Journal of Econometrics, 55, 275-298. Franses, P.H. (1990). Testing for Seasonal Unit Roots in Monthly Data. Econometric Institute Report No. 9032A, Erasmus university, Rotterdam. Ghysels, E. & Osborn, D.R. (2001). The Econometric Analysis of Seasonal Time Series. Cambridge: Cambridge University Press. Ghysels, E. & Perron, P. (1993). Effect of Seasonal Adjustment Filters on Tests for a Unit Root. Journal of Econometrics, 55(1), 57-98. Ghysels, E., Lee, H.S. & Noh, J. (1994). Testing for Unit Roots in Seasonal Time Series: Some Theoretical Extensions and a Monte Carlo Investigation. Journal of Econometrics, 62(2), 415- 442. Gürel, S.P., & Tiryakioğlu, M. (2012). Seasonal Unit Root: An Application to Turkish Industrial Production Series. Business and Economics Research Journal, 3(4), 77-89. Habibullah, M.S. (1998). Testing for Seasonal Integration and Cointegration: An Expository Note with Empirical Application to KLSE Stock Price Data. Pertanika Journal of Social Sciences & Humanities, 6(2), 113-123. Hansda, S.K. (ed.) (2012). Monthly Seasonal Factors of Selected Economic Time Series, Reserve Bank of India Bulletin, Vol. LXVI(9), 1673-1721 Hylleberg, S., Engle, R.F., Granger, C.W.J. & Yoo, B.S. (1990). Seasonal Integration and Cointegration. Journal of Econometrics, 44(1), 215-238. International Monetary Fund (2011). Selected decisions and selected documents of the International Monetary Fund. Thirty-Fifth Issue, Washington, DC. Jaditz, T. (1994). Seasonality: economic data and model Estimation. Monthly Labor Review. December 1994, 17-22. Kutlar, A. (2000). Ekonometrik Zaman Serileri, Gazi Kitabevi, Ankara Leong, K. (1997). Seasonal integration in economic time series. Mathematics and computers in simulation, 43(3), 413-419. Maddala, G.S. & Kim, I.M. (1998). Unit Roots, Cointegration and Structural Change. Cambridge: Cambridge University Press. Meng, X. & He, C. (2012). Testing Seasonal Unit Roots in Data at Any Frequency: An HEGY Approach, Working papers in transport, tourism, information technology and microdata analysis.Osborn, D.R., Chiu, A.P.L., Smith, J.P. & Birchenhall, C.R. (1988). Seasonality and the Order of Integration for Consumption. Oxford Bulletin of Economics and Statistics, 50(4), 361-377. Rajcoomar, S., & Bell, M.W. (Eds.). (1996). Financial programming and policy: The Case of Sri Lanka. International Monetary Fund. Rubia, A. (2001). Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets (No. 2001-21). Instituto Valenciano de Investigaciones Económicas, SA (Ivie). Türe, H. and Akdi, Y. (2005). Mevsimsel Kointegrasyon: Türkiye Verilerine Bir Uygulama. 7. National Econometrics and Statistics Symposium conducted at İstanbul University, May 26-27, 2005.
Year 2015, Volume: 24 Issue: 2, 159 - 174, 31.10.2015

Abstract

References

  • Alexander, C., & Jordá, M. C. (1997). Seasonal unit roots in trade variables. IVIE Working papers Serie EC No:13, Instituto Valenciano de Investigaciones Económicas, S.A. Ayvaz, Ö. (2006). Mevsimsel birim kök testi. Atatürk University, Journal of the Faculty of Economic and Administrative Sciences, 20(1), 71-87. Ayvaz Kızılgöl, Ö. (2011). Mevsimsel Eşbütünleşme Testi: Türkiye'nin Makroekonomik Verileriyle Bir Uygulama. Atatürk University, Journal of the Faculty of Economic and Administrative Sciences, 25(2), 13-25. Beaulieu, J.J. & Miron, J.A. (1993). Seasonal Unit Roots in Aggregate US Data. Journal of Econometrics, 55(1), 305-328. Charemza, W.W. & Deadman, D.F. (1992). New Directions in Econometric Practice. 1st Edition, Aldershot:Edward Elgar. Çağlayan, E. (2003). Yaşam boyu sürekli gelir hipotezinde mevsimsellik. Marmara University, Journal of the Faculty of Economic and Administrative Sciences, 18(1), 409-422. Dickey, D.A., Hasza, D.P., & Fuller, W.A. (1984). Testing for Unit Roots in Seasonal Time Series. Journal of American Statistical Association, 79(386), 355-367. Elitok, S.P. (2008). The relationship between trade, growth and the balance of payments: application of balance of payments-constrained growth model to the Turkish economy (1960-2004). A dissertation submitted to the Faculty of the University of Utah for the Degree of Doctor of Philosophy. Department of Economics. Engle, R.F., Granger, C.W.J., Hylleberg, S. & Lee, H.S. (1993). Seasonal cointegration: the Japanese consumption function. Journal of Econometrics, 55, 275-298. Franses, P.H. (1990). Testing for Seasonal Unit Roots in Monthly Data. Econometric Institute Report No. 9032A, Erasmus university, Rotterdam. Ghysels, E. & Osborn, D.R. (2001). The Econometric Analysis of Seasonal Time Series. Cambridge: Cambridge University Press. Ghysels, E. & Perron, P. (1993). Effect of Seasonal Adjustment Filters on Tests for a Unit Root. Journal of Econometrics, 55(1), 57-98. Ghysels, E., Lee, H.S. & Noh, J. (1994). Testing for Unit Roots in Seasonal Time Series: Some Theoretical Extensions and a Monte Carlo Investigation. Journal of Econometrics, 62(2), 415- 442. Gürel, S.P., & Tiryakioğlu, M. (2012). Seasonal Unit Root: An Application to Turkish Industrial Production Series. Business and Economics Research Journal, 3(4), 77-89. Habibullah, M.S. (1998). Testing for Seasonal Integration and Cointegration: An Expository Note with Empirical Application to KLSE Stock Price Data. Pertanika Journal of Social Sciences & Humanities, 6(2), 113-123. Hansda, S.K. (ed.) (2012). Monthly Seasonal Factors of Selected Economic Time Series, Reserve Bank of India Bulletin, Vol. LXVI(9), 1673-1721 Hylleberg, S., Engle, R.F., Granger, C.W.J. & Yoo, B.S. (1990). Seasonal Integration and Cointegration. Journal of Econometrics, 44(1), 215-238. International Monetary Fund (2011). Selected decisions and selected documents of the International Monetary Fund. Thirty-Fifth Issue, Washington, DC. Jaditz, T. (1994). Seasonality: economic data and model Estimation. Monthly Labor Review. December 1994, 17-22. Kutlar, A. (2000). Ekonometrik Zaman Serileri, Gazi Kitabevi, Ankara Leong, K. (1997). Seasonal integration in economic time series. Mathematics and computers in simulation, 43(3), 413-419. Maddala, G.S. & Kim, I.M. (1998). Unit Roots, Cointegration and Structural Change. Cambridge: Cambridge University Press. Meng, X. & He, C. (2012). Testing Seasonal Unit Roots in Data at Any Frequency: An HEGY Approach, Working papers in transport, tourism, information technology and microdata analysis.Osborn, D.R., Chiu, A.P.L., Smith, J.P. & Birchenhall, C.R. (1988). Seasonality and the Order of Integration for Consumption. Oxford Bulletin of Economics and Statistics, 50(4), 361-377. Rajcoomar, S., & Bell, M.W. (Eds.). (1996). Financial programming and policy: The Case of Sri Lanka. International Monetary Fund. Rubia, A. (2001). Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets (No. 2001-21). Instituto Valenciano de Investigaciones Económicas, SA (Ivie). Türe, H. and Akdi, Y. (2005). Mevsimsel Kointegrasyon: Türkiye Verilerine Bir Uygulama. 7. National Econometrics and Statistics Symposium conducted at İstanbul University, May 26-27, 2005.
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Details

Journal Section Makaleler
Authors

Mehmet Özmen

Sera Şanlı

Publication Date October 31, 2015
Submission Date November 16, 2017
Published in Issue Year 2015 Volume: 24 Issue: 2

Cite

APA Özmen, M., & Şanlı, S. (2015). HEGY SEASONAL UNIT ROOT TEST: AN APPLICATION ON BALANCE OF PAYMENTS IN TURKISH ECONOMY. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24(2), 159-174.