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AN ALTERNATIVE APPROACH TO TESTING SHOCKS IN FIRST ORDER AUTOREGRESSIVE TIME SERIES

Journal Name:

  • İstanbul Üniversitesi İktisat Fakültesi Mecmuası

Publication Year:

  • 2005

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Keywords (Original Language):

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Abstract (2. Language): 
Nowadays, innovation of shock persistence is one of (he basic focus subjects of the time series analysis. The main problem is testing shocks. This article aims to examine whether there is an appropriate test statistics for various shocks and interventions. Additionally, it deals with some problems, which are considering shocks to be outlier and effect of shock persistence constitutes structural change. Consequently, this article defines shocks with an alternative mode! and tries to examine the quantiles distribution of an alternative test for annual and monthly time series. It examines homogeneity of variances for the values of alternative test statistics about several dummy variables (shocks). This study calculated power of the alternative test statistics against t statistics, and concludes that t statistics tends to accept the false null hypothesis in left side and reject the true null hypothesis in right side.
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Abstract (Original Language): 
Günümüzde, zaman serisi analizlerinin temel ilgi konularından biri şok sürekliliğinin (oluşturduğu) değişikliklerdir. Şokların festi temel problemdir. Bu araştırma, çeşitli şoklar ve müdahaleler için uygun bir test istatistiği olup olmadığını saptamayı amaçlamaktadır. Ayrıca şokların outlier (dışsal veri) olarak ele alınması ve şok sürekliliğinin (oluşturduğu) yapısal değişiklikler gibi bazı problemlerle ilgilenir. Bu makale şokları alternatif bir model İle tanımlayıp, yıllık ve aylık zaman serileri için alternatif bir testin bölen dağılımlarını saptamaya çalışır. Birkaç gölge değişkenle İlgili alternatif test istatistiği değerleri için varyansların homojenliğini test eder. Bu çalışma alternatif test istatistiğinin t istatistiğine karşı gücü hesaplandı ve t istatistiğinin sol yanda yanlış olan sıfır hipotezini kabul etmeye, sağ yanda gerçek o/an sıfır hipotezini reddetmeye eğilimli olduğu sonucuna vardı.
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