Browsing by Author "Tasseven, Ozlem"

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Citation Count: 2
Modelling Seasonality - An Extension of the HEGY Approach in the Presence of Two Structural Breaks
(Savez Ekonomista Vojvodine, 2008) Tasseven, Ozlem
In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analysing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the, extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M 1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account.
Citation Count: 1
Seasonal Co-integration - An Extension of the Johansen and Schaumburg Approach with an Exclusion Test
(Savez Ekonomista Vojvodine, 2009) Tasseven, Ozlem
In this paper, the Johansen and Schaumburg method for seasonal co-integration has been tried to be applied for testing an a priori hypothesized co-integrating money demand variable space. We aim to provide a comprehensive discussion of the significance of the variables in the long-run context as stationary relationships for both. zero and bi-annual frequencies. For this purpose, several restrictions have been used to impose for identification purposes of the relevant vectors. We also touch upon the possibility that most time series data have been subject to the stochastic seasonality as opposed to the general acceptance in empirical papers. Our results employing data from the Turkish economy show that it is not possible to estimate only a single theory-accepted money demand relationship in the long-run variable space for both zero and bi-annual frequences, but we are able to identify different vectors somewhat consistent with theoretical arguments for the annual frequency.