Some appications about cointegration and structural break analysis in time series

Time series is a set of measurements which taken at regular intervals over period of time. Overall, this thesis tried to give information about time series and also make applications related to it. In the first chapter, basic concept of time series, stationary, unit tests and model selection criteria are explained. In the second part, the structural break tests and cointegration were studied. In the third part, between 2005:01-2010:12 periods, the dollar rate data?s stationarity were analyzed and with its results, its nonstationarity were investigated whether caused structural break or not. For analysing structural break, Perron (1989), Zivot Andrews (1992) and Perron (1997) approaches were used. In addition, during the periods 2004:01-2009:12, the stability of relations between Dollar, Euro and Sterling rate data were analyzed by using monthly data. Whether the data have relationship among each other or not were seek by cointegration analysis and to this end, Engle-Granger and Johansen methods were used.