Panel Veri Analizi - II Ders İzlencesi

EĞİTİM
Panel Veri Analizi - II
EĞİTMENLER
Prof. Dr. Şaban NAZLIOĞLU
Pamukkale Üniversitesi Dr. Öğr. Üyesi Çağın KARUL
Pamukkale Üniversitesi
KULLANILACAK YAZILIMLAR / DİL
EVIEWS 13+ GAUSS 25+
 

EĞİTİMİN KAPSAMI VE ÖNEMLİ NOTLAR

Bu eğitim programının amacı, durağan olmayan panel veri modellerini teorik temelleriyle tanıtmak ve ampirik uygulamalarını EViews ile GAUSS (TSPDlib kütüphanesi) ortamlarında gerçekleştirmektir. Eğitim kapsamında standart testlerin ötesine geçilerek; yatay kesit bağımlılığı, panel birim kök, panel durağanlık, yapısal kırılmalı ve kantil panel birim kök testleri, panel eşbütünleşme testleri ve uzun dönem tahmincileri ile panel nedensellik analizleri detaylı olarak ele alınacaktır.

Önemli Notlar: Prof. Dr. 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 - Github Linki) kütüphanesi katılımcılara tanıtılacak ve kütüphanenin pratik kullanımları gösterilecektir. Hem TSPDlib hem de diğer GAUSS uygulamaları için katılımcıların GAUSS 25 programına sahip olmaları tavsiye edilir. Daha önceki sürümlerde bazı fonksiyonlar olmadığı için yazılan kodların çalışmaması problemi ile karşılaşılabilmektedir.

ÖZEL İMKAN

Yüksek Lisans ve Doktora öğrencilerine, kendi bilgisayarlarında kullanabilmeleri için 99$ değerindeki 1 yıllık GAUSS lisansı ücretsiz olarak sunulacaktır.

 

EĞİTİM KONULARI VE YÖNTEMLER

(27–31 Temmuz 2026)
DERS SAATLERİ: 09:00 - 15:00
Ana Konu Başlığı Alt Başlıklar ve İncelenecek Yöntemler
Yatay Kesit Bağımlılığı ve Spesifikasyon Testleri
  • LM Testi: Breusch & Pagan (1980)
  • CD Testi: Pesaran (2021)
  • Bias-Adjusted LM Testi: Pesaran, Ullah & Yamagata (2008)
  • Delta ve Delta (HAC) Testleri: Pesaran & Yamagata (2008), Blomquist & Westerlund (2013)
Panel Birim Kök ve Durağanlık Testleri
  • Birinci Nesil Panel Birim Kök Testleri: Panel-ADF [Im, Pesaran & Shin (2003); Maddala & Wu (1999); Choi (2001)]
  • İkinci Nesil Panel Birim Kök Testleri: PANIC [Bai & Ng (2004, 2010)], CADF & CIPS [Pesaran (2007)]
  • Panel Durağanlık Testleri: Panel-KPSS [Hadri (2000); Yin & Wu (2001)], PANIC-KPSS [Bai & Ng (2005)], CA-KPSS [Hadri & Kurozumi (2012)] ve yeni genişletmeler [Nazlıoğlu et al. (2021)]
Yapısal Kırılmalı Panel Birim Kök ve Durağanlık Testleri
  • Yapısal Kırılmalı Panel Birim Kök Testleri: Panel-LM [Im, Lee & Tieslau (2005); Westerlund (2012); Lee & Tieslau (2019)], PANIC-LM [Bai & Carrion-i-Silvestre (2009)], PANIC-Fourier LM [Nazlıoğlu et al. (2023)]
  • Yapısal Kırılmalı Panel Durağanlık Testleri: Panel-KPSS [Carrion-i-Silvestre et al. (2005); Hadri & Rao (2008)], kademeli Fourier kırılmalı Panel-KPSS [Nazlıoğlu & Karul (2017)] ve yeni genişletmeler [Nazlıoğlu et al. (2021)]
Panel Kantil Birim Kök Testleri
  • Quantile CADF & CIPS: Yang, Wei & Cai (2022)
  • Quantile ADF & IPS (Yatay Kesit İlişkili): Nazlıoğlu, Tarakçı, Karul & Erdem (2026)
Panel Eşbütünleşme Testleri ve Tahmincileri
  • Panel Eşbütünleşme Testleri: Pedroni (1999, 2004), Panel-LM Bootstrap [Westerlund & Edgerton (2007)], Durbin-h [Westerlund (2008)] ve yapısal kırılmalı testler [Westerlund (2006); Westerlund & Edgerton (2008)]
  • Eşbütünleşme Tahmincileri: Panel ARDL [Pesaran, Shin & Smith (1999)], Panel FMOLS [Pedroni (2000)], Panel DOLS [Pedroni (2001)], CUP-FM [Bai & Kao (2005)], BA-OLS [Westerlund (2007)], CCE [Pesaran (2006)], IFE [Bai (2009)] ve dinamik panel modelleri [Gaibulloev, Sandler & Sul (2014)]
Panel Nedensellik Testleri
  • Panel SUR: Kónya (2006)
  • Panel Granger : Dumitrescu & Hurlin (2012)
  • Panel Toda-Yamamoto : Emirmahmutoğlu & Köse (2011)
  • Yatay Kesit Bağımlılığı Altında Granger Nedenselliği: Nazlıoğlu & Karul (2024 - Panel PANIC Toda-Yamamoto)
 

LİTERATÜR VE KAYNAKLAR

  • Breusch, T.S. and Pagan, A.R. (1980): "The Lagrange multiplier test and its applications to model specification in econometrics", Review of Economic Studies, 47 (1), pp. 239-253.
  • Pesaran, M. H. (2021): "General diagnostic tests for cross-sectional dependence in panels", Empirical Economics, 60(1), pp. 13-50.
  • Pesaran, M. H., Ullah, A. and Yamagata, T. (2008): "A bias-adjusted LM test of error cross-section independence", *Econometrics Journal*, 11, pp. 105–127.
  • Pesaran, M. H., Yamagata, T. (2008): "Testing slope homogeneity in large panels", Journal of Econometrics, 142(1), pp. 50–93.
  • Blomquist, J., & Westerlund, J. (2013): "Testing slope homogeneity in large panels with serial correlation", Economics Letters, 121(3), pp. 374-378.
  • Im, K. S., Pesaran, M. H. and Shin, Y. (2003): "Testing for unit roots in heterogeneous panels", Journal of Econometrics, 115, pp. 53–74.
  • Maddala, G. S. and Wu, S. (1999): "A comparative study of unit root tests with panel data and a new simple test", Oxford Bulletin of Economics and Statistics, special issue, pp. 631–52.
  • Choi, I. (2001): "Unit root tests for panel data", Journal of International Money and Finance, 20, pp. 249–72.
  • Bai, J. and Ng, S. (2004): "A PANIC attack on unit roots and cointegration", Econometrica, 72, pp. 1127–78.
  • Bai, J., & Ng, S. (2010): "Panel unit root tests with cross-section dependence: a further investigation", Econometric Theory, 26(4), pp. 1088-1114.
  • Pesaran, M.H. (2007): "A simple unit root test in the presence of cross-section dependence", Journal of Applied Econometrics, 22 (2), pp. 265-312.
  • Hadri, K. (2000): "Testing for Unit Roots in Heterogeneous Panel Data", Econometrics Journal, 3, pp. 148-161.
  • Yin, Y. and S. Wu (2001): "Stationarity Tests in Heterogeneous Panels," in Badi H. Baltagi, Thomas B. Fomby, R. Carter Hill (ed.) Nonstationary Panels, Panel Cointegration, and Dynamic Panels (Advances in Econometrics, Volume 15) Emerald Group Publishing Limited, pp. 275–296.
  • Bai, J., and S. Ng (2005): "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," in Andrews, D.W.K., Stock, J.H. (Eds.), Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg. Cambridge University Press, Cambridge.
  • Hadri, K., Kurozumi, E. (2012): "A simple panel stationarity test in the presence of serial correlation and a common factor", Economics Letters, 115, pp. 31–34.
  • Nazlioglu, S., Payne, J. E., Lee, J., Rayos-Velazquez, M., & Karul, C. (2021): "Convergence in OPEC carbon dioxide emissions: Evidence from new panel stationarity tests with factors and breaks", Economic Modelling, 100, 105498.
  • Im, K., Lee, J., Tieslau, M. (2005): "Panel LM Unit-root Tests with Level Shifts", Oxford Bulletin of Economics and Statistics, 67, pp. 393–419.
  • Westerlund, J. (2012): "Testing for unit roots in panel time-series models with multiple level breaks", The Manchester School, Vol 80, No. 6, pp. 671–699.
  • Lee, J., & Tieslau, M. (2019): "Panel LM unit root tests with level and trend shifts", Economic Modelling, 104618.
  • Bai, J. and Carrion-i-Silvestre, J. L. (2009): "Structural changes, common stochastic trends, and unit roots in panel data", Review of Economic Studies, 76, pp. 471–501.
  • Nazlioglu, S., Lee, J., Tieslau, M., Karul, C., & You, Y. (2023): "Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures", Econometric Reviews, 42(1), pp. 78-97.
  • Carrion-i-Silvestre, J.L., Del Barrio-Castro, T., Lopez-Bazo, E. (2005): "Breaking the panels: An application to GDP per capita", Econometrics Journal, 8, pp. 159–175.
  • Hadri, K., & Rao, Y. (2008): "Panel Stationarity Test with Structural Breaks", Oxford Bulletin of Economics and Statistics, 70(2), pp. 245-269.
  • Nazlioglu, S., & Karul, C. (2017): "A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks", Economic Modelling, 61, pp. 181-192.
  • Yang, J., Wei, J., & Cai, B. (2022): "Quantile unit root inference for panel data with common shocks", Economics Letters, 219, 110809.
  • Nazlioglu, S., Tarakci, D., Karul, C., & Erdem, L. S. (2026): "Inflation shocks: quantile unit root inference for panel data with cross-correlations", The North American Journal of Economics and Finance, 102592.
  • Pedroni, P. (1999): "Critical values for cointegration tests in heterogeneous panels with multiple regressors", Oxford Bulletin of Economics and Statistics, 61, pp. 653–670.
  • Pedroni, P. (2004): "Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis: new results", Econometric Theory, 20, pp. 597–627.
  • Westerlund, J., Edgerton, D. L. (2007): "A Panel Bootstrap Cointegration Test", Economics Letters, 97, pp. 185–190.
  • Westerlund, J. (2008): "Panel cointegration tests of the Fisher effect", Journal of Applied Econometrics, 23, pp. 193–233.
  • Westerlund, J. (2006): "Testing for panel cointegration with a level break", Economics Letters, 91 (2006), pp. 27–33.
  • Westerlund, J. (2006): "Testing for panel cointegration with multiple structural breaks", Oxford Bulletin of Economics and Statistics, 68, pp. 101-132.
  • Westerlund, J., Edgerton, D. L. (2008): "A Simple Test for Cointegration in Dependent Panels with Structural Breaks", Oxford Bulletin of Economics and Statistics, 70, pp. 665-704.
  • Pesaran, M. H., Shin, Y. and Smith, R. J. (1999): "Pooled Mean Group Estimation of Dynamic Heterogeneous Panels", Journal of the American Statistical Association, 94, pp. 621–634.
  • Pedroni, P. (2000): "Fully modified OLS for heterogeneous cointegrated panels", Advances in Econometrics, 15, pp. 93–130.
  • Pedroni, P. (2001): "Purchasing Power Party Tests in cointegrated panels", Review of Economics and Statistics, 83, pp. 727–731.
  • Bai, J., and C. Kao. (2005): "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence", in B. Baltagi (ed.), Contributions to Economic Analysis. Amsterdam: Elsevier.
  • Westerlund, J. (2007): "Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis", Journal of Financial Econometrics, Vol. 5, No. 3, pp. 491–522.
  • Pesaran, M.H. (2006): "Estimation and inference in large heterogeneous panels with a multifactor error structure", Econometrica, Vol. 74, No. 4, pp. 967–1012.
  • Bai, J. (2009): "Panel data models with interactive fixed effects", Econometrica, 77, pp. 1229–79.
  • Gaibulloev, K., Sandler, T., & Sul, D. (2014): "Dynamic panel analysis under cross-sectional dependence", Political Analysis, 22(2), pp. 258-273.
  • Kónya, L. (2006): "Exports and growth: Granger causality analysis on OECD countries with a panel data approach", Economic Modelling, 23 (6), pp. 978-992.
  • Dumitrescu, E., Hurlin, C. (2012): "Testing for Granger non-causality in heterogeneous panels", Economic Modelling, 29 (2012), pp. 1450–1460.
  • Emirmahmutoglu, F., Kose, N. (2011): "Testing for Granger causality in heterogeneous mixed panels", Economic Modelling, 28 (2011), pp. 870–876.
  • Nazlioglu, S., & Karul, C. (2024): "Testing for Granger causality in heterogeneous panels with cross-sectional dependence", Empirical Economics, pp. 1-39.
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