SEASONAL ERROR CORRECTION MODELS FOR MACROECONOMIC VARIABLES: THE CASE OF TURKISH ECONOMY
In this research, it has been aimed to examine seasonal long-term relationships and to estimate seasonal error correction model (SECM) which is the second step in the presence of cointegrating relationships for quarterly Gross Domestic Product (GDP), Gross Fixed Capital Formation (INV), Imports (IMP), Consumption of Resident Households (CONS) and Government Final Consumption Expenditures (GOV) variables for Turkey covering 1998Q1-2017Q3 period. HEGY(1990) approach has been utilized for seasonal unit root analyses and seasonal error correction mechanisms have been estimated based on the study of Engle, Granger, Hylleberg, Lee (EGHL) (1993). Findings have revealed that when dependent variable is INV, SECM(3) has worked at 1/2 frequency and 38.9% of deviations from long-run equilibrium in INV variable will be corrected at one period. Based on SECM(2) estimation at ½ frequency, 30.9% of deviations from IMP will disappear at one period under 10% significance level. At ¼ frequency, SECM(1) results for GOV and CONS dependent variables have shown that approximately 55% of deviations from long-run equilibrium in both variables will disappear at one period. ECM has not worked for dependent variable “GOV” at ¾ frequency depending upon the positive value of error correction term. Additively, SECM(2) has been working at ¼ frequency for dependent variable “IMP”.
Anahtar Kelimeler:
EGHL, Gross Domestic Product, HEGY, Seasonal Cointegration, Seasonal Error Correction Model
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- Yayın Aralığı: Yılda 2 Sayı
- Başlangıç: 2017
- Yayıncı: Himmet KARADAL
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