Araştırma Makalesi
BibTex RIS Kaynak Göster

AN APPLICATION ON SYSTEMATIC SAMPLING, AVERAGE SAMPLING AND SEASONAL UNIT ROOTS

Yıl 2017, Cilt: 22 Sayı: 1, 213 - 220, 30.01.2017

Öz

In this study, it was investigated the effects of systematic sampling and average sampling which, viewed as a type of temporal aggregation, on the findings of seosanal unit root tests. Beaulieu and Miron (1993)’s monthly seasonal unit root test and Hylleberg, Engle, Granger ve Yoo (1990)’s the quarterly seasonal unit root tests were used to examine the effects of temporal aggregation on seasonal unit root proces of stock (monetary supply) and flow (import) variables. According to the results, different types of temporal aggregation provide similar result for seasonal unit roots. However, the seasonal unit root tests have presented different findings in terms of stock and flow variables.

Kaynakça

  • AMEMIYA, T. ve WU, R.Y. (1972). “The Effect of Aggregation on Prediction in the Autoregressive Model”, Journal of the American Statistical Association, 67(339): 628-632.
  • BEAULIEU, J.J. ve MIRON, J.A. (1993). “Seasonal Unit Roots in Aggregate U.S. Data”, Journal of Econometrics, 55: 305-328.
  • CHOI, I. (1992). “Effects of Data Aggregation on the Power of Tests for a Unit Root”, Economic Letters, 40: 397-401.
  • FUJIHARA, R.A. ve MOUGOUE, M. (1994). “Temporal Aggregation and Unit Roots in Nominal Foreign Exchange Rates”, Review of Quantitative Finance and Accounting, 4: 291-303.
  • GEORGOUTSOS, D. A., KOURETAS, G.P. ve TSERKEZOS, D.E. (1998). “Temporal Aggregation in Structural VAR Models”, Applied Stochastic Models and Data Analysis, 14: 19-34.
  • GHYSELS, E. ve MILLER, J.I. (2013). “Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series”, Department of Economics, University of Missouri Working Paper, No. 07.
  • GRANGER, C.W.J. (1988). “Aggregation of Time Series Variables: A Survey”, University of Minnesota Discussion Paper.
  • GRANGER, C.W.J. ve SIKLOS, P.L. (1995). “Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration Theory and Evidence”, Journal of Econometrics, 66: 357-369.
  • GRUNFELD Y. ve GRILICHES Z. (1960). “Is Aggregation Necessarily Bad?”, The Review of Economic and Statistics, 42(1): 1-13.
  • HAUG, A.A. (2002). “Temporal Aggregation and Power of Cointegration Tests: A Monte Carlo Study”, Oxford Bulletin of Economics and Statistics, 64(4): 399-412.
  • HYLLEBERG, S., ENGLE, R.F., GRANGER, C.W.J. ve YOO, B.S. (1990). “Seasonal Integration and Cointegration”, Journal of Econometrics, 44: 215-238.
  • LEONTIEF, W. (1947). “Introduction to a Theory of the Internal Structure of Functional Relationship”, Econometrica, 15(4): 361-373.
  • MALINVAUD, E. (1956). “L’aggrgation Dans le Modles Conomiques”, Cahiers du Seminaire D’econometrie, 4: 69-146.
  • MARCELLINO, M. (1999). “Some Consequences of Temporal Aggregation in Empirical Analysis”, Journal of Business and Economic Statistics, 17(1): 129-136.
  • MUNDLAK, Y. (1961). “Aggregation over Time in Distributed Lag Models”, International Economic Review, 2(2): 154-163.
  • PIERSE, R. G. ve SNELL A. J. (1995). “Temporal Aggregation and the Power of Tests for a Unit Root”, Journal of Econometrics, 65: 333-345.
  • QUENOUILLE, M. H., (1958). “Discrete Autoregressive Schemes with Varying Time Intervals”, Metrika, 1, 21-27.
  • ROSSANA, R. J. ve SEATER, J.J. (1992). “Aggregation, Unit Roots and the Time Series Structure of Manufacturing Real Wages”, International Economic Review, 33: 159-179.
  • ROSSANA, R. J. ve SEATER, J.J. (1995). “ Temporal Aggregation and Economic Time Series”,
  • Journal of Business and Economic Statistics, 13: 441-451.
  • ROTGER, G.P. (2003). “Testing for Seasonal Unit Roots with Temporally Aggregated Time Series”, Department of Economics, University of Aarhus Working Paper, No. 16.
  • ROTGER, G.P. (2004). “Seasonal Unit Roots Testing Based on the Temporal Aggregation Seasonal Cycles”, Department of Economics, University of Aarhus Working Paper, No. 01.
  • TELES, P., WEIS, W.W.S. ve HODGESS, E.M. (2008). “Testing a Unit Root Based on Aggregate Time Series”, Communications in Statistics Theory and Methods, 37: 565-590.
  • TELSER, L. G. (1967). “Discrete Samples and Moving Sums in Stationary Processes”, Journal of the American Statistical Association, 62(318): 484-499.
  • THEIL, H. (1955). “Linear Aggregation of Economic Relations”, The American Economic Review, 45(4): 680-682.
  • ZELNER, A. (1962), “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias”, Journal of the American Statistical Association , 57(298): 348

SİSTEMATİK ÖRNEK, ORTALAMA ÖRNEK VE MEVSİMSEL BİRİM KÖKLER ÜZERİNE BİR UYGULAMA

Yıl 2017, Cilt: 22 Sayı: 1, 213 - 220, 30.01.2017

Öz

Bu çalışmada zamansal toplulaştırma çeşitleri olan sistematik örnek ve ortalama örnek yaklaşımlarının mevsimsel birim kök testlerinin bulguları üzerindeki etkileri araştırılmıştır. Beaulieu and Miron (1993)’un aylık mevsimsel birim kök testi ve Hylleberg, Engle, Granger ve Yoo (1990)’nun üçer aylık mevsimsel birim kök testi zamansal toplulaştırmanın stok (para arzı) ve akım (ithalat) değişkenlerinin mevsimsel birim kök süreçleri üzerindeki etkilerini incelemek amacıyla kullanılmıştır. Elde edilen bulgulara göre farklı zamansal toplulaştırma biçimleri mevsimsel birim kök testleri için benzer bulgular sağlamıştır. Ancak mevsimsel birim kök testleri stok ve akım değişkenler itibariyle farklı bulgular sunmuştur.

Kaynakça

  • AMEMIYA, T. ve WU, R.Y. (1972). “The Effect of Aggregation on Prediction in the Autoregressive Model”, Journal of the American Statistical Association, 67(339): 628-632.
  • BEAULIEU, J.J. ve MIRON, J.A. (1993). “Seasonal Unit Roots in Aggregate U.S. Data”, Journal of Econometrics, 55: 305-328.
  • CHOI, I. (1992). “Effects of Data Aggregation on the Power of Tests for a Unit Root”, Economic Letters, 40: 397-401.
  • FUJIHARA, R.A. ve MOUGOUE, M. (1994). “Temporal Aggregation and Unit Roots in Nominal Foreign Exchange Rates”, Review of Quantitative Finance and Accounting, 4: 291-303.
  • GEORGOUTSOS, D. A., KOURETAS, G.P. ve TSERKEZOS, D.E. (1998). “Temporal Aggregation in Structural VAR Models”, Applied Stochastic Models and Data Analysis, 14: 19-34.
  • GHYSELS, E. ve MILLER, J.I. (2013). “Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series”, Department of Economics, University of Missouri Working Paper, No. 07.
  • GRANGER, C.W.J. (1988). “Aggregation of Time Series Variables: A Survey”, University of Minnesota Discussion Paper.
  • GRANGER, C.W.J. ve SIKLOS, P.L. (1995). “Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration Theory and Evidence”, Journal of Econometrics, 66: 357-369.
  • GRUNFELD Y. ve GRILICHES Z. (1960). “Is Aggregation Necessarily Bad?”, The Review of Economic and Statistics, 42(1): 1-13.
  • HAUG, A.A. (2002). “Temporal Aggregation and Power of Cointegration Tests: A Monte Carlo Study”, Oxford Bulletin of Economics and Statistics, 64(4): 399-412.
  • HYLLEBERG, S., ENGLE, R.F., GRANGER, C.W.J. ve YOO, B.S. (1990). “Seasonal Integration and Cointegration”, Journal of Econometrics, 44: 215-238.
  • LEONTIEF, W. (1947). “Introduction to a Theory of the Internal Structure of Functional Relationship”, Econometrica, 15(4): 361-373.
  • MALINVAUD, E. (1956). “L’aggrgation Dans le Modles Conomiques”, Cahiers du Seminaire D’econometrie, 4: 69-146.
  • MARCELLINO, M. (1999). “Some Consequences of Temporal Aggregation in Empirical Analysis”, Journal of Business and Economic Statistics, 17(1): 129-136.
  • MUNDLAK, Y. (1961). “Aggregation over Time in Distributed Lag Models”, International Economic Review, 2(2): 154-163.
  • PIERSE, R. G. ve SNELL A. J. (1995). “Temporal Aggregation and the Power of Tests for a Unit Root”, Journal of Econometrics, 65: 333-345.
  • QUENOUILLE, M. H., (1958). “Discrete Autoregressive Schemes with Varying Time Intervals”, Metrika, 1, 21-27.
  • ROSSANA, R. J. ve SEATER, J.J. (1992). “Aggregation, Unit Roots and the Time Series Structure of Manufacturing Real Wages”, International Economic Review, 33: 159-179.
  • ROSSANA, R. J. ve SEATER, J.J. (1995). “ Temporal Aggregation and Economic Time Series”,
  • Journal of Business and Economic Statistics, 13: 441-451.
  • ROTGER, G.P. (2003). “Testing for Seasonal Unit Roots with Temporally Aggregated Time Series”, Department of Economics, University of Aarhus Working Paper, No. 16.
  • ROTGER, G.P. (2004). “Seasonal Unit Roots Testing Based on the Temporal Aggregation Seasonal Cycles”, Department of Economics, University of Aarhus Working Paper, No. 01.
  • TELES, P., WEIS, W.W.S. ve HODGESS, E.M. (2008). “Testing a Unit Root Based on Aggregate Time Series”, Communications in Statistics Theory and Methods, 37: 565-590.
  • TELSER, L. G. (1967). “Discrete Samples and Moving Sums in Stationary Processes”, Journal of the American Statistical Association, 62(318): 484-499.
  • THEIL, H. (1955). “Linear Aggregation of Economic Relations”, The American Economic Review, 45(4): 680-682.
  • ZELNER, A. (1962), “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias”, Journal of the American Statistical Association , 57(298): 348
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Sinem Eyüboğlu Bu kişi benim

Zehra Abdioğlu

Yayımlanma Tarihi 30 Ocak 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 22 Sayı: 1

Kaynak Göster

APA Eyüboğlu, S., & Abdioğlu, Z. (2017). SİSTEMATİK ÖRNEK, ORTALAMA ÖRNEK VE MEVSİMSEL BİRİM KÖKLER ÜZERİNE BİR UYGULAMA. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 22(1), 213-220.