SEASONAL ERROR CORRECTION MODELS FOR MACROECONOMIC VARIABLES: THE CASE OF TURKISH ECONOMY

Authors : Mehmet ÖZMEN, Sera ŞANLI

Pages : 23-42

View : 15 | Download : 2

Publication Date : 2018-12-31

Article Type : Conference Paper

Abstract :In this research, it has been aimed to examine seasonal long-term relationships and to estimate seasonal error correction model insert ignore into journalissuearticles values(SECM); which is the second step in the presence of cointegrating relationships for quarterly Gross Domestic Product insert ignore into journalissuearticles values(GDP);, Gross Fixed Capital Formation insert ignore into journalissuearticles values(INV);, Imports insert ignore into journalissuearticles values(IMP);, Consumption of Resident Households insert ignore into journalissuearticles values(CONS); and Government Final Consumption Expenditures insert ignore into journalissuearticles values(GOV); variables for Turkey covering 1998Q1-2017Q3 period. HEGYinsert ignore into journalissuearticles values(1990); approach has been utilized for seasonal unit root analyses and seasonal error correction mechanisms have been estimated based on the study of Engle, Granger, Hylleberg, Lee insert ignore into journalissuearticles values(EGHL); insert ignore into journalissuearticles values(1993);. Findings have revealed that when dependent variable is INV, SECMinsert ignore into journalissuearticles values(3); has worked at 1/2 frequency and 38.9% of deviations from long-run equilibrium in INV variable will be corrected at one period. Based on SECMinsert ignore into journalissuearticles values(2); estimation at ½ frequency, 30.9% of deviations from IMP will disappear at one period under 10% significance level. At ¼ frequency, SECMinsert ignore into journalissuearticles values(1); results for GOV and CONS dependent variables have shown that approximately 55% of deviations from long-run equilibrium in both variables will disappear at one period. ECM has not worked for dependent variable “GOV” at ¾ frequency depending upon the positive value of error correction term. Additively, SECMinsert ignore into journalissuearticles values(2); has been working at ¼ frequency for dependent variable “IMP”.  
Keywords : EGHL, Gross Domestic Product, HEGY, Seasonal Cointegration, Seasonal Error Correction Model