A. Karun NEMLİOĞLU

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An Alternative Approach to Testing Shocks in First Order Autoregressive Time Series

Günümüzde, zaman serisi analizlerinin temel ilgi konularından biri şok sürekliliğinin (oluşturduğu) değişikliklerdir. Şokların testi temel problemdir. Bu araştırma, çeşitli şoklar ve müdahaleler için uygun bir test istatistiği olup olmadığını saptamayı amaçlamaktadır. Ayrıca şokların outlier (dışsal veri) olarak ele alınması ve şok sürekliliğinin (oluşturduğu) yapısal değişiklikler gibi bazı problemlerle ilgilenir. Bu makale şokları alternatif bir model ile tanımlayıp, yıllık ve aylık zaman serileri için alternatif bir testin bölen dağılımlarını saptamaya çalışır. Birkaç gölge değişkenle ilgili alternatif test istatistiği değerleri için varyanslann homojenliğini test eder. Bu çalışma alternatif test istatistiğinin t istatistiğine karşı gücü hesaplandı ve t istatistiğinin sol yanda yanlış olan sıfır hipotezini kabul etmeye, sağ yanda gerçek olan sıfır hipotezini reddetmeye eğilimli olduğu sonucuna vardı.

Nowadays, innovation of shock persistence is one of the basic focus subjects of the time series analysis. The main problem is testing shocks. This article aims to examine whether there is an appropriate test statistics for various shocks and interventions. Additionally, it deals with some problems, which are considering shocks to be outlier and effect of shock persistence constitutes structural change. Consequently, this article defines shocks with an alternative model and tries to examine the quantiles distribution of an alternative test for annual and monthly time series. It examines homogeneity of variances for the values of alternative test statistics about several dummy variables (shocks). This study calculated power of the alternative test statistics against t statistics, and concludes that t statistics tends to accept the false null hypothesis in left side and reject the true null hypothesis in right side.
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An Alternative Approach to Testing Shocks in First Order Autoregressive Time Series

A. Karun NEMLİOĞLU