International Conference on Eurasian Economies
5-7 October 2017 – Bishkek, KYRGYZSTAN
Paper detail
Paper ID : 1980
Status : Paper published
Language : English
Topic : Macroeconomics
Presenter: Prof. Dr. Mehmet Özmen
Session : 2A Growth & Development
Seasonal Cointegration Approach on Expenditure Based Gross Domestic Product and Its Some Sub-Components for Turkey
Seasonal Cointegration Approach on Expenditure Based Gross Domestic Product and Its Some Sub-Components for Turkey
- Prof. Dr. Mehmet Özmen (Çukurova University, Türkiye)
- Ph.D. candidate Sera Şanlı (Çukurova University, Türkiye)
Abstract
In this study, it has been aimed to investigate the existence of co-integration relationship between quarterly gross domestic product (GDP), final consumption expenditures of resident households (CONS), exports of goods and services (EXP), government final consumption expenditures (GOV) and private sector machinery-equipment (PRIEQ) series for the period 1998Q1-2014Q4 for Turkey. Since, Engle and Granger (1987) cointegration test does not take unit roots at seasonal frequencies into account; seasonal cointegration approach proposed by Engle, Granger, Hylleberg and Lee (EGHL) (1993) has been conducted in order to be able to detect the long-run equilibrium relationship among variables which are integrated at the same seasonal frequency. With the aim of determining the stationarity order of series, HEGY seasonal unit root test has been applied. Consequently, there has been found a cointegrating relationship only between GDP and GOV series at quarterly frequencies for only the auxiliary regression including constant term and seasonal dummies.
JEL codes:
Özmen, Mehmet, Şanlı, Sera (2017). "Seasonal Cointegration Approach on Expenditure Based Gross Domestic Product and Its Some Sub-Components for Turkey" in Proceedings of International Conference of Eurasian Economies 2017, pp.21-31, Bishkek, KYRGYZSTAN.
DOI: https://doi.org/10.36880/C09.01980
Session 2A: Growth & Development
