MEVSİMSEL BİRİM KÖK TESTİ

Öz Özet: Bu çalışmada Türkiye ekonomisine ait GSMH, tüketim, ihracat veithalat serilerinin gösterdiği mevsimsel yapı araştırılmıştır. 1989:1-2004:4 yıllarıarasında üçer aylık olarak alınan bu serilerin, stokastik mevsimsellik mi yoksadeterministik mevsimsellik mi gösterdiği tespit edilmeye çalışılmıştır. Serilerinmevsimsel frekanslarda birim köklere sahip olup olmadığını belirlemek içinHEGY (1990) tarafından geliştirilen mevsimsel birim kök testinebaşvurulmuştur. Elde edilen sonuçlara göre, tüketim serisinde stokastikmevsimsellik, GSMH ve ihracat serisinde yarı yıllık ve yıllık frekanslarlamevsimsel birim kök ve ithalat serisinde mevsimsel olmayan birim kök vardır.Anahtar Kelimeler: Stokastik mevsimsellik, deterministikmevsimsellik, HEGY testi Abstract: In this paper, the seasonal structure of the series of GrossNational Product, consumption, export and import of Turkish economy wereinvestigated. These series were taken quarterly between the years 1989:1-2004:4, and this study attempts to determine whether these series possess astochastic or deterministic seasonality. The seasonal unit root test developed byHEGY (1990) was applied to determine whether or not series have unit roots atthe seasonal frequencies. As a result, the consumption series have stochasticseasonality, Gross National Product and export series have seasonal unit root atannual and semi-annual frequencies and import series have non-seasonal unitroot.KeywordS: Stochastic seasonality, deterministic seasonality, HEGYtest

Anahtar Kelimeler:

Stokastik mevsimsellik, deterministik mevsimsellik, HEGY testi

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