Master'sOpen Access

Analysis and application of change in macroeconometric variables with unit root test

2021
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Advisor: Dr. Öğr. Üyesi Kamil Durdu

Abstract (EN)

In time series, there may be ups and downs that occur sharply in some periods. Examples of this are the main reasons such as wars, natural disasters, policy changes. In this case, a structural break occurs in the series. Structural breaks create some difficulties in determining the stationarity of the series. As a matter of fact, it is not expected that the test results without taking such changes into account will give completely accurate results. In order to obtain reliable unit root test results, it is envisaged to apply tests that take into account structural breaks in time series. Therefore, the study examines Turkey's macroeconomic variables with both traditional unit root tests and unit root tests that take into account structural breaks. Considering the results of the unit root test performed, it was concluded that the series were not stationary in level value in the analyzes made with the traditional unit root tests. In addition, the SUE variable in the LS test, which takes two structural breaks into account, is stationary around structural breaks at the TGE series level in the BEL and CL test, which takes into account fourier terms. Keywords: Unit Root Test, Unit Root Test with Structural Break, Macroeconomics.

Author

Dr. Haluk Topsakal

How to Cite

Haluk Topsakal (Master Thesis). Analysis and application of change in macroeconometric variables with unit root test, 2021, İnönü University.

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