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DURAĞANLIĞIN BELİRLENMESİNDE KPSS VE ADF TESTLERİ : İMKB ULUSAL-100 ENDEKSİ İLE BİR UYGULAMA

Journal Name:

  • İstanbul Üniversitesi İktisat Fakültesi Mecmuası

Publication Year:

  • 2004
Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
Testing stationary of economic time series has become an important issue for achievement of the model in emprical economics. Because most of time series analysis in economics and finance are based on the stationarity hypothesis. In this paper we present the most common test for the null hypothesis of stationary that is KPSS test. Both the KPSS test and the ADF test are employed to determine whether ISE National-100 index follow a random walk process or it is stationary. According to applied tests, the National —100 index is nonstationary. It is understood that the first difference of the series is I (I), i.e.the series has a unit root.
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Abstract (Original Language): 
Uygulamalı iktisatta, modelin başarısı için iktisadi zaman serilerinin durağanlık testi önemli bir konu olmuştur. Çünkü iktisat ve finans alanındaki zaman serisi analizlerinin çoğu durağanlık hipotezine dayanmaktadır. Bu çalışmada durağanlık temel hipotezi için en yaygın test olan KPSS testi sunulmuştur. İMKB ulusal-ÎOO endeksinin rassal yürüyüş süreci takip edip etmediğini veya durağan olup olmadığını belirlemek için hem KPSS hem de ADF testi kullanılmıştır. Uygulanan testlere göre Ulusal-JOO endeksi durağan değildir. Serinin ilk farkının durağan olduğu 1(1), diğer bir deyişle birim kökü olduğu anlaşılmıştır.
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  • 1
239-248
  • Turkish

REFERENCES

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