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Türkiye’nin Makroekonomik Zaman Serilerinin Doğrusallığının Testi

Testing the Linearity of Macroeconomic Time Series of Turkey

Journal Name:

  • Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Dergisi

Publication Year:

  • 2016
DOI: 
http://dx.doi.org/10.18074/cnuiibf.315

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Keywords (Original Language):

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Abstract (2. Language): 
In economic and financial time series studies, determining the data generation process of the series is an important issue. Analysing by using appropriate methods and models based on the structure of the series helps to obtain reliable results. In recent years, linear methods as well as nonlinear methods are being used in the literature. Therefore, we investigate whether Turkey’s major macroeconomic series are linear. For this purpose, we examined the number of employers, unemployment rate, industrial production index, number of unemployed, M3 money supply, interest rate, export and import volume index series by Harvey et al. (2008) linearity test. According to our analysis results, unemployment rate, number of unemployed, M3 money supply and import series are linear. However, the presence of outliers in the nonlinear series tested by using Chen and Liu (1993) test. We detected outliers in the industrial production, interest rate and export series, but we find out that the reason of nonlinearity in the interest rates is not the extreme values.
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Abstract (Original Language): 
İktisadi ve finansal ampirik çalışmalarda incelenen serilerin yapısal özelliklerinin belirlenmesi önemli bir konudur. Veri yaratma sürecine uygun yöntem ve modeller kullanılarak analizler yapmak elde edilen sonuçların güvenilir olmasını sağlayacaktır. Son yıllarda ekonometri literatüründe doğrusal yöntemler kadar doğrusal olmayan yöntemlerin de kullanıldığı görülmektedir. Bu nedenle bu çalışmada Türkiye’nin belli başlı makroekonomik serilerinin doğrusal olup olmadığı araştırılmıştır. Bu amaçla istihdam edilen kişi sayısı, işsizlik oranı, sanayi üretim indeksi, işsiz kişi sayısı, M3 para arzı, faiz oranı, ihracat ve ithalat hacim indeksi serileri Harvey vd. (2008) doğrusallık testi ile incelenmiştir. Analiz sonucunda, işsizlik oranları, işsiz sayısı, M3 para arzı ve ithalat serilerinin doğrusal yapıda olduğu bulgusuna ulaşılmıştır. Bununla birlikte, doğrusal olmadığı bulunan serilerde aykırı değerlerin varlığı Chen ve Liu (1993)’in önermiş olduğu yöntemle sınanmış ve endüstriyel üretim, faiz ve ihracat serilerinde aykırı değerlerin varlığı tespit edilmiş ve faiz oranlarındaki doğrusal dışılığın kaynağının aykırı değer olmadığı ortaya çıkarılmıştır.
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  • 2
1
16
  • Turkish

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Çankırı Karatekin Üniversitesi Çankırı Karatekin University
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