Applications of unit root tests on macroeconomics variables

Under the assumption that the series should be stationary, many views have been put forward in the econometric theory for this purpose and many test methods have been developed to test the stability. In most of the recently developed test methods, unit root tests which are valid in case of the structural breaks have been emphasized. Unit root tests can be misleading without considering the structural changes in the series. Panel data econometrics, which takes into account non-stationary macro data, started to develop in 1990s, but showed a rapid development. These developments enables panel data to be used effectively in many areas, primarily macroeconomic series. One of the main reasons for this is that can handle both unit and time dimensions together. The study aimed to test the stability of some macroeconomic time series of structural changes under Turkey. In addition, stationary tests were performed with panel data analysis techniques. For this purpose, it was investigated whether the series contain unit root or not, and whether the structural breaks in the series affect the unit root process and the stationarity of the series with the panel data is examined. In this context, the annual frequencies of Turkey on macroeconomic variables are used. In this study, observations on GNP, consumption, government final consumption expenditures, real exchange rate, consumer price index, (M3), inflation, interest rate, import and export series were used. Keywords: Time series, Unit Root Tests, Structural Breaks, Panel Unit Root Tests