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Mevsimsel Kointegrasyon Analizi: Güney Afrika Örneği

Seasonal Cointegration Analysis: Example of South Africa

Journal Name:

  • Gazi Üniversitesi Sosyal Bilimler Dergisi

Publication Year:

  • 2016

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
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.
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Abstract (Original Language): 
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 Engle- Granger yöntemleri ile elde edilen bulgular karşılaştırılmaktadır. Bundan dolayı, bu üç yöntem birim kökü ve kointegrasyonu test etmek amacıyla tercih edilmiştir.
FULL TEXT (PDF): 
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  • 6
34
48
  • Turkish

REFERENCES

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Gazi Üniversitesi Sosyal Bilimler Dergisi Vol/Cilt: 3, No/Sayı: 6, 2016
48
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