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Sanayi Üretim Endeksinin Durağanlık Özellikleri

Author

Listed:
  • Hasan Murat ERTUĞRUL

    (Hazine Müsteşarlığı)

  • Uğur SOYTAŞ

    (ODTÜ İşletme Bölümü)

Abstract

Aylık sanayi üretim endeksi, hem politika yapıcılar hem de akademisyenler tarafından ekonometrik tahminlerde oldukça sık kullanılan bir zaman serisidir. Bu makalede, düzey, logaritmik, mevsimsellikten arındırılmış düzey ve mevsimsellikten arındırılmış logaritmik Türkiye sanayi endeksinin (TUİK) durağanlık özellikleri hem geleneksel hem de düşük örneklem sayılarında daha güçlü birim kök sınamaları ile incelenmiştir. Buna ek olarak içsel olarak yapısal kırılmaları hesaba katan birim kök sınamaları uygulanmıştır. Geleneksel sınamalar ile göreceli olarak yeni sınamaların sonuçları birbiriyle çelişmektedir. Ayrıca seride yapısal kırılmalar söz konusudur. Bu nedenlerle geleneksel birim kök sınama sonuçlarına dayanarak yapılan model seçimleri ve bu model sonuçlarından yapılan politika çıkarımları doğru olmayabilir. Bu çalışma, Türkiye aylık sanayi endeksi kullanan çalışmalara, endeksin durağanlık özelliklerini değerlendirme aşamasında yön gösterici rol oynayabilir.

Suggested Citation

  • Hasan Murat ERTUĞRUL & Uğur SOYTAŞ, 2013. "Sanayi Üretim Endeksinin Durağanlık Özellikleri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 28(328), pages 51-66.
    • Handle: RePEc:iif:iifjrn:v:28:y:2013:i:328:p:51-66
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    Citations

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    Cited by:

    1. H. M. Ertugrul & S. Yildirim & F. Ayhan, 2017. "An Investigation of Stationarity Properties of the Turkish Tourism Income Variable," International Econometric Review (IER), Econometric Research Association, vol. 9(2), pages 37-49, September.
    2. Hasan Murat Ertuğrul & Ünal Seven, 2023. "Dynamic spillover analysis of international and Turkish food prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1918-1928, April.
    3. Husnu Tekin & Burak Sencer Atasoy & Hasan Murat Ertugrul, 2017. "The Relationship between Conventional Deposit and Islamic Profit Share Rates: An Analysis of the Turkish Banking Sector العلاقة بين الإيداعات التقليدية ومعدلات الأرباح الإسلامية: تحليل للقطاع المصرفي ," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 30(SI), pages 103-117, April.
    4. Seker, Fahri & Ertugrul, Hasan Murat & Cetin, Murat, 2015. "The impact of foreign direct investment on environmental quality: A bounds testing and causality analysis for Turkey," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 347-356.
    5. Emre Atilgan & Dilek Kilic & Hasan Murat Ertugrul, 2017. "The dynamic relationship between health expenditure and economic growth: is the health-led growth hypothesis valid for Turkey?," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 18(5), pages 567-574, June.

    More about this item

    Keywords

    Sanayi Üretim Endeksi; Durağanlık Sınamaları; Yapısal Kırılmalar;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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