ZAMANSAL TOPLULAŞTIRMANIN BİRİM KÖK TESTLERİ ÜZERİNDEKİ ETKİSİ

Yüksek frekanslı serilerden düşük frekanslı seriler elde edilmesine zamansal toplulaştırma denir. Bu çalışmada, zamansal toplulaştırmanın iki farklı yaklaşımı olan sistematik örnek ve ortalama örnek toplulaştırmaları kullanılarak, toplulaştırmanın standart birim kök testleri üzerindeki etkisinin incelenmesi amaçlanmıştır. Bu amaçla çalışmada 1990-2015 dönemi itibari ile M1, fiyat, rezerv ve kur serileri kullanılmıştır. Logaritmik dönüşüme tabi tutulmuş ve tutulmamış aylık frekanstaki serilerden her iki toplulaştırma biçimine göre üçer aylık ve yıllık frekanslarda seriler elde edilmiştir. Logaritmik dönüşüm yapılıp yapılmaması serilerin seviyelerinde birim kök testleri bakımından pek bir farklılık yaratmazken, birinci farklarında bazı farklı bulguların çıkmasına yol açmıştır. Aynı zamanda toplulaştırma biçimi de birim kök testi sonuçlarını etkilemiştir.

Anahtar Kelimeler:

Zamansal Toplulaştırma, Sistematik Örnek, Ortalama Örnek

EFFECT OF TEMPORAL AGGREGATION ON UNIT ROOT TESTS

The low-frequency series obtained from high-frequency series is called temporal aggregation. The aim of this study is to investigate the effect of aggregation on standard unit root tests using systematic sampling and average sampling aggregations, which are two different approaches of temporal aggregation. In this study, M1, price, reserve and exchange rate series are used for the period 1990 to 2015. Both quarterly and yearly frequencies are obtained by using both types of aggregations with logarithmic and non-logarithmic monthly frequency series. According to the results, logarithmic transform does not cause a significant difference in terms of unit root tests at the levels of the series, it led some different findings in the first differences of the series. Additionally, the results of the unit root test are affected by the aggregation forms.

Keywords:

Temporal Aggregation, Systematic Sampling, Average Sampling,

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