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    Uygulamalı Doğrusal Zaman Serisi Analizi-II


    Şaban Nazlıoğlu (Pamukkale Üniversitesi)

    Çağın Karul (Pamukkale Üniversitesi)

     

    Yazılım:

    Eviews 9 ve üzeri.

    GAUSS 19 ve üzeri

    Önemli Notlar:

    Şaban Nazlıoğlu tarafından GAUSS için hazırlanmış olan ve Aptech tarafından tüm kullanıcılarının paylaşımına açılmış olan TSPDlib (Econometric Package for Time Series and Panel Data Methods - https://github.com/aptech/tspdlib/ ) kütüphanesi güncellenmiş olup ilk kez EYS-2019 katılımcılarına tanıtılacak ve kütüphanenin pratik kullanımları gösterilecektir.

     

    Hem TSPDlib hem de diğer GAUSS uygulamaları için katılımcıların GAUSS 19 programına sahip olmaları tavsiye edilir. Çünkü, daha önceki sürümlerde bazı fonksiyonlar olmadığı için yazılan kodların çalışmaması problemi ile karşılaşılmaktadır.

     

    GAUSS ile yapılacak uygulamaların daha verimli olması için katılımcıların, “GAUSS-I: Ekonometrik Programlama ve Uygulamalar”  ve teorik konuların daha kolay anlaşılabilmesi ve GAUSS ile programlama becerilerinin geliştirilmesi için “GAUSS-II: İleri Ekonometrik Programlama ve Simülasyonalr” kurslarına katılmaları tavsiye edilir.

     

    Birim Kök Testleri

    ADF

     

     

    Dickey, D.A., Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society75, 427–431.

     

     

    PP

    Phillips, P.C.B., Perron, P., 1988. Testing for a unit root in time series regressions. Biometrica 75, 335–346.

     

     

    KPSS

    Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., Shin, Y., 1992. Testing the null hypothesis of stationary against the alternative of a unit root. Journal of Econometrics 54,159–178.

     

     

    DF-GLS

     

    Elliott, G., Rothenberg, T.J., Stock, J.H., 1996. Efficient tests for an autoregressive unit root. Econometrica 64,813–836.

     

     

    NP

    Ng, S., Perron, P., 2001. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69,1519–1554.

     

     

    LM

    Schmidt, P., Phillips, C.B. 1992. LM tests for a unit root in the presence of deterministic trends, Oxford Bulletin of Economics and Statistics 54(3), 257-287.

     

     

    Yapısal Kırılmalar (Uygulamalar GAUSS-TSPDlib ile yapılacaktır.)

     

    Bai, J. and Perron, P. (1998) Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47-78.

    Bai, J. and Perron, P. (2003) Computation and Analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1-22.

     

     

    ADF(1br)

    Zivot, E., Andrews, W.K. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit root Hypothesis, Journal of Business and Economic Statistics 10(3), 251-270.

     

     

    ADF(2br)

    Narayan, P.K., Popp, S. (2010). A new unit root test with two structural breaks in level and slope at unknown time, Journal of Applied Statistics, 37:9, 1425-1438

     

     

    LM(1br)

    Lee, J., Strazicich, M.C., 2013. Minimum LM unit root test one two structural breaks. The Review Economics and Statistics 85, 1082–1089.

     

     

    LM(2br)

    Lee, J., Strazicich, M.C., 2003. Minimum Lagrange multiplier unit root test with two structural breaks. The Review Economics and Statistics 85, 1082–1089.

     

     

    LM(2step)

    Lee, J., Strazicich, M.C., Meng, M., Two-Step LM Unit Root Tests with Trend-Breaks. Journal of Statistical and Econometric Methods, vol.1, no.2, 2012, 81-107.

     

     

    GLS(1br)

     

    Perron, P., & Rodrı́guez, G. (2003). GLS detrending, efficient unit root tests and structural change. Journal of Econometrics, 115(1), 1-27.

     

     

    GLS(Mbr)

     

    Carrion-i-Silvestre, J.L., D. Kim and P.Perron (2009), GLS-based Unit Root Tests with Multiple Structural Breaks both Under the Null and the Alternative Hypotheses, Econometric Theory (25), 1754-1792.

     

     

    KPSS(1br)

    Kurozumi, E. (2002). Testing for stationarity with a break. Journal of Econometrics, 108(1), 63-99.

     

     

    KPSS(2br)

    Carrion-i-Silvestre, J. Ll. and Sansó, A. (2007): “The KPSS test with two structural breaks”, Spanish Economic Review, 9, 2, 105-127.

     

     

    Fourier KPSS

    Becker, R., Enders, W., Lee, J., 2006. “A stationarity test in the presence of an unknown number of smooth breaks”, Journal of Time Series Analysis, 27(3), 381-409.

     

     

    Fourier

    LM

    Enders, W., Lee, J., 2012. “A unit root test using a Fourier series to approximate smooth breaks”, Oxford Bulletin of Economics and Statistics, 74(4), 574-599.

     

     

    Fourier ADF

    Enders, W., Lee, J., 2012. “The flexible Fourier form and Dickey-Fuller type unit root tests”, Economics Letters, 117, 196-199.

     

     

    Fourier

    GLS

    Rodrigues, P., Taylor, A.M.R., 2012. “The flexible Fourier form and local GLS de-trending unit root tests”, Oxford Bulletin of Economics and Statistics, 74(5), 736-759.

     

     

    Bazı Genişletmeler ve Daha Güçlü Testler (Uygulamalar GAUSS-TSPDlib ile yapılacaktır.)

    Cov-ADF

    Hansen, B.E., 1995. Rethinking the univariate approach to unit root testing: using covariates to increase power. Econometric Theory 11, 1148–1172.

     

     

    Cov-KPSS

    Juhl, T. (2004). A Lagrange multiplier stationarity test using covariates. Economics Letters, 85(3), 321-326.

     

     

     

    Jansson, M. (2004). Stationarity testing with covariates. Econometric Theory, 20(1), 56-94.

     

     

     

    Karul, C., Nazlioglu, S., You, Y., Lee, J. (2018). More Powerful Stationary Test with Non-normal Errors. Unpublished Working Paper.

     

     

    QR-ADF

    Koenker, R., Xiao, Z., 2004. Unit root quantile autoregression inference. Journal of

    the American Statistical Association 99, 775–787.

    Galvao Jr., A. F., 2009. Unit root quantile autoregression testing using covariates, Journal of Econometrics 152 (2009) 165–178.

     

     

    RALS-

    ADF

    Im, K. S., Lee, J., & Tieslau, M. A. (2014). More powerful unit root tests with non-normal errors. In Festschrift in Honor of Peter Schmidt (pp. 315-342). Springer New York.

     

     

    RALS-

    LM

    Meng, M., Im, K. S., Lee, J., & Tieslau, M. A. (2014). More powerful LM unit root tests with non-normal errors. In Festschrift in Honor of Peter Schmidt (pp. 343-357). Springer New York.

     

     

    Eşbütünleşme Testleri (Uygulamalar GAUSS-TSPDlib ile yapılacaktır.)

    EG

    Engle, R. F., and Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica,55, 251-276.

     

     

    PO

    Phillips, P. C. B. , and Ouliaris, S. (1990). Asymptotic Properties of Residual Based Tests for Cointegration. Econometrica, 58 (1), pp. 165-193.

     

     

    ARDL

    Pesaran, M. H., Shin, Y. and Smith, R. J. (2001), Bounds Testing Approaches to the Analysis of Level Relationship, Journal of Applied Econometrics, 16, 289–326.

     

     

    Shin

    Shin, Y. (1994). A Residual-Based Test of the Null of Cointegration against the Alternative of No Cointegration. Econometric Theory, 10(1), 91-115.

     

     

    Yapısal Kırılmalar

    Gregory, A.W., Hansen, B., 1996. Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 70, 99-126.

     

    Hatemi-J, 2008. Tests for cointegration with two unknown regime shifts with an application to financial market integration, Empirical Economics, 35, 497-505.

     

    Westerlund, J. and Edgerton D.L. (2006). New improved tests for cointegration with structural breaks, Journal of Time Series Analysis 28(2), 188-224.

     

    Carrion-i-Silvestre, J.L., Sanso, A. (2006). Tests the Null of Cointegration with Structural Breaks.Oxford Bulletin Economics and Statistics, 68(5), 623-646.

     

    Arai, Y., Kurozumi, E. (2007) Testing for the Null Hypothesis of co-integration with a structural break, Econometric Reviews, 26:6, 705-739

     

    Tsong, C.C., Lee, C.F., Tsai, L.J., & Hu, T.C. (2016). The Fourier approximation and testing for the null of cointegration. Empirical Economics, 51(3), 1085-1113.

     

    Eşbütünleşme Tahmincileri

    FMOLS

    Phillips, Peter C. B. and Bruce E. Hansen (1990). “Statistical Inference in Instrumental Variables Regression with I(1) Processes,” Review of Economics Studies, 57, 99-125.

     

     

    CCR

    Park, Joon Y. (1992). “Canonical Cointegrating Regressions,” Econometrica, 60, 119-143.

     

     

    Dinamik OLS

     

    Stock, James H. and Mark Watson (1993). “A Simple Estimator of Cointegrating Vectors In Higher Order Integrated Systems,” Econometrica, 61, 783-820.

     

     

    ARDL

    Pesaran, M. H. and Shin, Y. (1999), An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis. in S. Strom (ed), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. 1998. Chapter 11, Cambridge University Press, Cambridge.

    Pesaran, M.H. and Pesaran, B. (1997), Working with Microfit 4.: Interactive Econometric Analysis. Oxford: Oxford University Press.

     

    Yapısal Kırılmaların Dikkate Alınması: FMOLS; CCR; DOLS

    Nedensellik Testleri

    Dolado-Lütkepohl, Toda-Yamamoto, Bootstrap Toda-Yamoto, Fourier Bootstrap Toda-Yamamoto, Asimetrik Nedensellik ve Time-varying Nedensellik analizleri için “GAUSS Kütüphanesi” hazırlanmış olup, bu kütüphane EYS katılımcılarına tanıtılacak ve kütüphanenin pratik kullanımları gösterilecektir.

     

    GC

    Granger, C.W.J., 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37, 424–438.

     

     

    DL

    Dolado, J. J., Lütkepohl, H. (1996). “Making Wald Tests Work for Cointegrated VAR Systems”, Econometric Reviews, 15, 369–386.

     

     

    TY

    Toda, H.Y.,Yamamoto, T., 1995. Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics 66,225–250.

     

     

    Bootstrap TY

    Hacker, R. S. and Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38, 1489-1500.

     

     

    Fourier

    Bootstrap TY

    Nazlioglu, S., Gormus, A., Soytas, U. (2016). Oil Prices and Real Estate Investment Trusts (REITs): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics 60(1): 168-175.

    Gormus, A., Nazlioglu, S., Soytas, U. (2018). High-Yield Bond and Energy Markets. Energy Economics 69: 101-110.

    Nazlioglu, S., Soytas, U., Gormus, A. (2018). Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages. Emerging Markets Finance and Trade. (55): 105–117.

     

     

    Asimetrik Nedensellik

    Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43, 447-456.

     

     

    Time-varying Nedensellik

    Balcilar, M., Ozdemir, Z.A., Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window, Energy Economics 32, 1398-1410.

    Arslanturk, Y. Balcilar, M., Ozdemir, Z.A., (2011). Time-varying linkages between tourism receipts and economic growth in a small open economy, Economic Modelling 28, 664-671.

     

     

    Frequnency

    Domain

    Breiutung, J., Candelon, B., 2006. Testing for short- and long-run causality: A frequency-domain approach, Journal of Econometrics 132, 363–378

     

     

    Volatility

    Spillover

    Cheung, Y., Ng, L.K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics 72, 33–48.

     

     

     

    Hafner, C. M., Herwartz, H. (2006). A Lagrange multiplier test for causality in variance. Economics Letters 93 (2006) 137–141.

     

     

    Nonlinear Nedensellik

    Hiemstra, C., Jones, J. (1994). “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation”, Journal of Finance, Vol. XLIC, 49, 1639-1664.

     

     

     

    Diks, C., Panchenko, V. (2005). “A Note on the Hiemstra-Jones Test for Granger Non-causality”, Studies in Nonlinear Dynamics and Econometrics, 9 (2) 1-7.

     

     

     

    Nishiyama, Y., Hitomi, K., Kawasak, Y. & Jeong, K., 2011. A consistent nonparametric test for nonlinear causality - Specification in time series regression. Journal of Econometrics, 165, pp. 112-127.

     

     

     

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