Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations
The differing dynamics of the inflations of the services and goods sectors has been of major concern in Turkey. The persistence of the services sector inflation during disinflation periods hampered the efforts of the Central Bank of Turkey of hitting inflation targets in a country with long-lasti...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2010-04-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/6050036.pdf |
| Summary: | The differing dynamics of the inflations of the services and goods sectors has been of
major concern in Turkey. The persistence of the services sector inflation during
disinflation periods hampered the efforts of the Central Bank of Turkey of hitting
inflation targets in a country with long-lasting high inflation experience. In search of a
possible long-run relationship between the services and goods sectors’ inflations, this
paper employs a method based on periodograms of the series in addition to time series
tools. A periodogram-based test has pros over conventional tests; this test is model-free,
seasonally robust and mean invariant. Empirical findings obtained from the methods
employed in this study, Engle-Granger’s and Johansen’s conventional long-run time
series tools as well as periodogram based test, suggest that services and goods sector
inflations in Turkey are not cointegrated. |
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| ISSN: | 1308-8793 1308-8815 |