Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks
In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit...
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| Format: | Article |
| Language: | English |
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Economists' Association of Vojvodina
2008-01-01
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| Series: | Panoeconomicus |
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| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2008/1452-595X0804465T.pdf |
| _version_ | 1811251364918984704 |
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| author | Tasseven Ozlem |
| author_facet | Tasseven Ozlem |
| author_sort | Tasseven Ozlem |
| collection | DOAJ |
| description | In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account. . |
| first_indexed | 2024-04-12T16:19:21Z |
| format | Article |
| id | doaj.art-b08362519b4b47e081d8dcc178de265e |
| institution | Directory Open Access Journal |
| issn | 1452-595X |
| language | English |
| last_indexed | 2024-04-12T16:19:21Z |
| publishDate | 2008-01-01 |
| publisher | Economists' Association of Vojvodina |
| record_format | Article |
| series | Panoeconomicus |
| spelling | doaj.art-b08362519b4b47e081d8dcc178de265e2022-12-22T03:25:37ZengEconomists' Association of VojvodinaPanoeconomicus1452-595X2008-01-0155446548410.2298/PAN0804465TModeling seasonality: An extension of the HEGY approach in the presence of two structural breaksTasseven OzlemIn this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account. .http://www.doiserbia.nb.rs/img/doi/1452-595X/2008/1452-595X0804465T.pdfHEGY seasonal unit root testdeterministic seasonalitystructural breaksmoney demandTurkish economy |
| spellingShingle | Tasseven Ozlem Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks Panoeconomicus HEGY seasonal unit root test deterministic seasonality structural breaks money demand Turkish economy |
| title | Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks |
| title_full | Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks |
| title_fullStr | Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks |
| title_full_unstemmed | Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks |
| title_short | Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks |
| title_sort | modeling seasonality an extension of the hegy approach in the presence of two structural breaks |
| topic | HEGY seasonal unit root test deterministic seasonality structural breaks money demand Turkish economy |
| url | http://www.doiserbia.nb.rs/img/doi/1452-595X/2008/1452-595X0804465T.pdf |
| work_keys_str_mv | AT tassevenozlem modelingseasonalityanextensionofthehegyapproachinthepresenceoftwostructuralbreaks |