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KOENTEGRASYON ANALİZİNE DAĞITILMIŞ GECİKMELİ OTOREGRESİF MODEL YAKLAŞIMI İLE TÜRKİYE İTHALAT-GSMH İLİŞKİSİNİN İNCELENMESİ (1983-2001)

Journal Name:

  • İstanbul Üniversitesi İktisat Fakültesi Mecmuası

Publication Year:

  • 2004
Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
Pesaran and Shin claimed that ARDL model can be used in investigating the long run relationships, in addition to analysis cointegration Johansen and Engle-Grenger. Monte carlo simulations gave the results accorded with their claims. In this paper the long run relationship between the GNP and import is exlained by ARDL model. The emprical results of this model and those of cointegration analysis of Engle- Granger are compared. We concluded that there is a significant long run relationship between the GNP and import according to both models.
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Abstract (Original Language): 
Pesaran ve Shin, uzun dönem ilişkisinin tespitinde yaygın şekilde kullanılmakta olan Engle-Granger ve Johansen koentegrasyon analizlerinin yamstra, ARDL modelinin de bu amaçla kullanılabileceğini ileri sürmüşler ve Monte Carlo simülasyonlan olumlu sonuç vermiştir. Bu çalışmada da ithalat ve GSMH arasındaki uzun dönem ilişkisi ARDL yaklaşımı ile tespit edilmiş, Engle-Granger koentegrasyon analizinden sağlanan sonuçlarla karşılaştırılmıştır. Her iki yaklaşıma göre ithalat ile GSMH arasında uzun dönem ilişkisi vardır.
FULL TEXT (PDF): 
PDF icon arastirmax-koentegrasyon-analizine-dagitilmis-gecikmeli-otoregresif-model-yaklasimi-ile-turkiye-ithalat-gsmh-iliskisinin-incelenmesi-1983-2001.pdf
  • 1
139-152
  • Turkish

REFERENCES

References: 

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Pesaran M. Hashera, Shin Yongcheol (1998), "An Autoregressivc Distributed-Lag Modelling Approach to Cointegration Analysis", Econometrics and Economic Theory in the 20ih Centry: The Ragnar Frisch Centennial Symposium, Chapter 11, 371-413, Cambridge University Press, Cambridge.
Russell Davidson, James G. Mackinnon (1993), Estimation and Inference in Econometrics, Oxford University Press, Oxford.

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