Yapısal Kırılmaların Varlığı Durumunda Geliştirilen Birim-Kök Testleri

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Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Volume:2 Issue:2
Yapısal Kırılmaların Varlığı Durumunda Geliştirilen Birim-Kök Testleri

Yapısal Kırılmaların Varlığı Durumunda Geliştirilen Birim-Kök Testleri

Authors : Funda YURDAKUL

Pages : 21-34

View : 54 | Download : 10

Publication Date : 2000-12-01

Article Type : Research Paper

Abstract :If a certain shock influences the economic series; that is, if there is a structural break in the series, this situation may lead to the fact that the series deviate from its trend and/or mean. Thus, if data generating processes are stationary around breaking trend function, then ADF insert ignore into journalissuearticles values(Augmented Dickey-Fuller); tests, which are the most often used statistics, may be misleading. For this reason, models that are stationary around structural break developed by Perroninsert ignore into journalissuearticles values(1989);, Banarjee, Lumsdaine ve Stock insert ignore into journalissuearticles values(1992);, Zivot ve Andrews insert ignore into journalissuearticles values(1992);, Perroninsert ignore into journalissuearticles values(1997); are also analyzed in addition to the ADF test.
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