Doğrusal Zaman Serisi Analizi - II Ders İzlencesi

EĞİTİM
Doğrusal Zaman Serisi Analizi - II
EĞİTMENLER
Prof. Dr. Şaban NAZLIOĞLU
Pamukkale Üniversitesi Dr. Öğr. Üyesi Çağın KARUL
Pamukkale Üniversitesi
KULLANILACAK YAZILIMLAR
EVIEWS 13+ GAUSS 25+
 

EĞİTİMİN KAPSAMI VE ÖNEMLİ NOTLAR

Bu eğitimin temel amacı, zaman serisi analizinde ileri düzey yöntemleri uygulamalı olarak katılımcılara aktarmaktır. Eğitim kapsamında standart testlerin ötesine geçilerek; ani ve yumuşak yapısal kırılmalı modeller, Fourier yaklaşımları, gelişmiş eşbütünleşme tahmincileri ve kantil (quantile) zaman serisi yöntemleri detaylı olarak ele alınacaktır.

Önemli Not: Prof. Dr. Şaban Nazlıoğlu tarafından GAUSS için hazırlanmış olan ve Aptech tarafından tüm kullanıcıların paylaşımına açılan TSPDlib (Econometric Package for Time Series and Panel Data Methods - Github Linki) kütüphanesi katılımcılara tanıtılacak ve pratik kullanımları gösterilecektir. Fonksiyon uyumsuzlukları yaşanmaması adına katılımcıların GAUSS 25 programına sahip olmaları tavsiye edilmektedir.

 

EĞİTİM KONULARI VE YÖNTEMLER

(20–24 Temmuz 2026)
DERS SAATLERİ: 09:00 - 15:00
Ana Konu Başlığı Alt Başlıklar ve İncelenecek Yöntemler (Temel Referanslar)
Birim Kök ve Durağanlık Testleri
  • ADF: Dickey & Fuller (1979)
  • LM: Schmidt & Phillips (1992)
  • DF-GLS: Elliott, Rothenberg, Stock (1996)
  • KPSS: Kwiatkowski, Phillips, Schmidt, Shin (1992)
Yapısal Kırılmalı Testler Ani Yapısal Kırılmalar (Kukla Değişken Yaklaşımı):
  • ADF (1-break: Zivot & Andrews 1992; 2-breaks: Narayan & Popp 2010)
  • LM (1-break: Lee & Strazicich 2013; 2-breaks: Lee & Strazicich 2003)
  • GLS (1-break: Perron & Rodriguez 2003; 2-breaks: Carrion-i-Silvestre et al. 2009)
  • KPSS (1-break: Kurozumi 2002; 2-breaks: Carrion-i-Silvestre & Sansó 2007)
Yumuşak Yapısal Kırılmalar (Fourier Yaklaşımı):
  • Fourier ADF (Enders & Lee, 2012)
  • Fourier LM (Enders & Lee, 2012)
  • Fourier GLS (Rodrigues & Taylor, 2012)
  • Fourier KPSS (Becker, Enders & Lee, 2006)
Eşbütünleşme Testleri Geleneksel Eşbütünleşme Testleri:
  • EG-ADF (Engle & Granger, 1987)
  • Shin-KPSS (Shin, 1994)
  • Bounds Test (Pesaran, Shin & Smith, 2001)
  • Johansen (Johansen, 1991)
Yapısal Kırılmalı Eşbütünleşme Testleri:
  • Ani Kırılmalı: EG-ADF Break, LM Break, KPSS Break, Johansen Break
  • Yumuşak Kırılmalı: Fourier Shin-KPSS, Fourier Johansen
Eşbütünleşme Tahmincileri
  • Geleneksel Tahminciler: FMOLS (Phillips & Hansen 1990), CCR (Park 1992), DOLS (Stock & Watson 1993), ARDL (Pesaran & Shin 1999)
  • Yapısal Kırılmalı Tahminciler: Break-FMOLS, Break-CCR, Break-DOLS, Break-ARDL
  • Fourier Yaklaşımlı Tahminciler: Fourier-FMOLS, Fourier-CCR, Fourier-DOLS, Fourier-ARDL
Nedensellik Testleri
  • GC: Granger Nedensellik Testi (Granger, 1969)
  • TY: Toda-Yamamoto Yaklaşımı (Toda & Yamamoto, 1995)
  • Fourier GC: (Enders & Jones, 2016)
  • Fourier TY: (Nazlioglu et al., 2016; 2018)
Kantil (Quantile) Zaman Serisi Analizleri Kantil Birim Kök Testleri:
  • QRADF / QKS (Koenker & Xiao 2004)
  • Fourier QRADF / QKS
  • Nonlinear QKSS / QKS ve Fourier Nonlinear QKSS / QKS
Kantil Eşbütünleşme ve Hata Düzeltme:
  • D-QCR ve FM-QCR (Xiao 2009)
  • QARDL (Cho, Kim & Shin 2015)
  • Nonlinear QCR (Li, Zheng & Guo 2016)
 

LİTERATÜR VE KAYNAKLAR

  • Dickey, D.A., & Fuller, W.A. (1979): "Distribution of the estimators for autoregressive time series with a unit root", Journal of the American Statistical Association, 75, pp. 427–431.
  • 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), pp. 257-287.
  • Elliott, G., Rothenberg, T.J., & Stock, J.H. (1996): "Efficient tests for an autoregressive unit root", Econometrica, 64, pp. 813–836.
  • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992): "Testing the null hypothesis of stationarity against the alternative of a unit root", Journal of Econometrics, 54, pp. 159–178.
  • Bai, J., & Perron, P. (1998): "Estimating and testing linear models with multiple structural changes", Econometrica, 66, pp. 47-78.
  • Bai, J., & Perron, P. (2003): "Computation and Analysis of multiple structural change models", Journal of Applied Econometrics, 18, pp. 1-22.
  • 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), pp. 251-270.
  • 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), pp. 1425-1438.
  • Lee, J., & Strazicich, M.C. (2013): "Minimum LM unit root test one two structural breaks", Economics Bulletin, 33(4), pp. 2483–2492.
  • Lee, J., & Strazicich, M.C. (2003): "Minimum Lagrange multiplier unit root test with two structural breaks", The Review of Economics and Statistics, 85, pp. 1082–1089.
  • Perron, P., & Rodriguez, G. (2003): "GLS detrending, efficient unit root tests and structural change", Journal of Econometrics, 115(1), pp. 1-27.
  • Carrion-i-Silvestre, J.L., Kim, D., & Perron, P. (2009): "GLS-based Unit Root Tests with Multiple Structural Breaks both Under the Null and the Alternative Hypotheses", Econometric Theory, 25, pp. 1754-1792.
  • Kurozumi, E. (2002): "Testing for stationarity with a break", Journal of Econometrics, 108(1), pp. 63-99.
  • Carrion-i-Silvestre, J. Ll., & Sansó, A. (2007): "The KPSS test with two structural breaks", Spanish Economic Review, 9(2), pp. 105-127.
  • Enders, W., & Lee, J. (2012): "The flexible Fourier form and Dickey-Fuller type unit root tests", Economics Letters, 117, pp. 196-199.
  • 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), pp. 574-599.
  • 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), pp. 736-759.
  • 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), pp. 381-409.
  • Engle, R. F., & Granger, C. W. J. (1987): "Co-Integration and Error Correction: Representation, Estimation and Testing", Econometrica, 55, pp. 251-276.
  • Shin, Y. (1994): "A Residual-Based Test of the Null of Cointegration against the Alternative of No Cointegration", Econometric Theory, 10(1), pp. 91-115.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001): "Bounds Testing Approaches to the Analysis of Level Relationship", Journal of Applied Econometrics, 16, pp. 289–326.
  • Johansen, S. (1991): "Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models", Econometrica, 59(6), pp. 1551–1580.
  • Gregory, A.W., & Hansen, B. (1996): "Residual-based tests for cointegration in models with regime shifts", Journal of Econometrics, 70, pp. 99-126.
  • Hatemi-J, A. (2008): "Tests for cointegration with two unknown regime shifts with an application to financial market integration", Empirical Economics, 35, pp. 497-505.
  • Westerlund, J., & Edgerton, D.L. (2006): "New improved tests for cointegration with structural breaks", Journal of Time Series Analysis, 28(2), pp. 188-224.
  • Carrion-i-Silvestre, J.L., & Sanso, A. (2006): "Tests the Null of Cointegration with Structural Breaks", Oxford Bulletin of Economics and Statistics, 68(5), pp. 623-646.
  • Harris, D., Leybourne, S. J., & Taylor, A. R. (2016): "Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point", Journal of Econometrics, 192(2), pp. 451-467.
  • 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), pp. 1085-1113.
  • Pascalau, R., Lee, J., Nazlioglu, S., & Lu, Y. (2022): "Johansen-type cointegration tests with a Fourier function", Journal of Time Series Analysis, 43(5), pp. 828-852.
  • Phillips, P. C. B., & Hansen, B. E. (1990): "Statistical Inference in Instrumental Variables Regression with I(1) Processes", Review of Economic Studies, 57, pp. 99-125.
  • Park, J. Y. (1992): "Canonical Cointegrating Regressions", Econometrica, 60, pp. 119-143.
  • Stock, J. H., & Watson, M. (1993): "A Simple Estimator of Cointegrating Vectors In Higher Order Integrated Systems", Econometrica, 61, pp. 783-820.
  • Pesaran, M. H., & 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, Chapter 11, Cambridge University Press, Cambridge.
  • Granger, C.W.J. (1969): "Investigating causal relations by econometric models and cross-spectral methods", Econometrica, 37, pp. 424–438.
  • Toda, H.Y., & Yamamoto, T. (1995): "Statistical inference in vector autoregression with possibly integrated processes", Journal of Econometrics, 66, pp. 225–250.
  • Enders, W., & Jones, P. (2016): "Grain prices, oil prices, and multiple smooth breaks in a VAR", Studies in Nonlinear Dynamics & Econometrics, 20(4), pp. 399-419.
  • 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), pp. 168-175.
  • Gormus, A., Nazlioglu, S., & Soytas, U. (2018): "High-Yield Bond and Energy Markets", Energy Economics, 69, pp. 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, pp. 105–117.
  • Koenker, R., & Xiao, Z. (2004): "Unit root quantile autoregression inference", Journal of the American Statistical Society, 99, pp. 775–787.
  • Galvao Jr., A. F. (2009): "Unit root quantile autoregression testing using covariates", Journal of Econometrics, 152, pp. 165–178.
  • Li, H., & Zheng, C. (2018): "Unit Root Quantile Autoregression Testing With Smooth Structural Changes", Finance Research Letters, 25, pp. 83–89.
  • Li, H., & Park, S. Y. (2018): "Testing for a Unit Root in a Non-Linear Quantile Autoregression Framework", Econometric Reviews, 37(8), pp. 867–892.
  • Bahmani-Oskooee, M., Chang, T., Niroomand, F., & Ranjbar, O. (2020): "Fourier Non-Linear Quantile Unit Root Test and PPP in Africa", Bulletin of Economic Research, 72(4), pp. 451–481.
  • Xiao, Z. (2009): "Quantile Cointegrating Regression", Journal of Econometrics, 150(2), pp. 248–260.
  • Nazlioglu, S., Gurel, S., Gunes, S., & Kilic, E. (2022): "Asymmetric Fisher effect in inflation targeting emerging markets: evidence from quantile co-integration", Applied Economics Letters, 29(21), pp. 2007-2014.
  • Kuriyama, N. (2016): "Testing cointegration in quantile regressions with an application to the term structure of interest rates", Studies in Nonlinear Dynamics & Econometrics, 20(2), pp. 107-121.
  • Cho, J. S., Kim, T. H., & Shin, Y. (2015): "Quantile cointegration in the autoregressive distributed-lag modeling framework", Journal of Econometrics, 188(1), pp. 281-300.
  • Li, H., Zheng, C., & Guo, Y. (2016): "Estimation and test for quantile nonlinear cointegrating regression", Economics Letters, 148, pp. 27-32.
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