Modelling Seasonality - An Extension of the HEGY Approach in the Presence of Two Structural Breaks

dc.contributor.author Tasseven, Ozlem
dc.date.accessioned 2024-05-25T11:22:00Z
dc.date.available 2024-05-25T11:22:00Z
dc.date.issued 2008
dc.department Okan University en_US
dc.department-temp Okan Univ, Banking & Finance Dept, Istanbul, Turkey en_US
dc.description.abstract 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. en_US
dc.identifier.citationcount 2
dc.identifier.doi 10.2298/PAN0804465T
dc.identifier.endpage + en_US
dc.identifier.issn 1452-595X
dc.identifier.issn 2217-2386
dc.identifier.issue 4 en_US
dc.identifier.startpage 465 en_US
dc.identifier.uri https://doi.org/10.2298/PAN0804465T
dc.identifier.uri https://hdl.handle.net/20.500.14517/644
dc.identifier.volume 55 en_US
dc.identifier.wos WOS:000263033100003
dc.institutionauthor Tasseven, Ozlem
dc.language.iso en
dc.publisher Savez Ekonomista Vojvodine en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.subject HEGY Seasonal unit root test en_US
dc.subject Deterministic seasonality en_US
dc.subject Structural breaks en_US
dc.subject Money demand en_US
dc.subject Turkish economy en_US
dc.title Modelling Seasonality - An Extension of the HEGY Approach in the Presence of Two Structural Breaks en_US
dc.type Article en_US
dc.wos.citedbyCount 2

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