Advanced Search
MyIDEAS: Login

Structural Breaks in Long-Term Turkish Macroeconomic Data,1923-2003

Contents:

Author Info

  • ALTINAY, Galip

    ()

Abstract

. This study examines the time series properties of long-term Turkish macroeconomic data by using the sequential Dickey-Fuller type and the minimum Lagrange multiplier (LM) type endogenous break(s) unit root tests. Zivot and Andrews (1992) and Lumsdaine and Papel (1997) tests do not provide evidence against the unit root hypothesis, indicating the shocks are permanent. On the contrary, Lee and Strazicich (2003 and 2004) minimum LM unit root tests strongly reject the null hypothesis in favour of trend stationarity with two breaks in particular. Eleven macroeconomic variables, namely, real GNP, nominal GNP, real per capita GNP, employment, GNP deflator, consumer prices, money stock – M1 and M2, velocity, export, and import series are used in the study. The data used are annual observations extracted from the State Institute of Statistics (SIS) publication of Statistical Indicators: 1923 – 2002, except for the nominal, real, and per capita GNP data, which have been revised as outlined above. The sample period starts as early as in 1923 (when Republic of Turkey was founded) and ends in 2002. Classification-J

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.usc.es/economet/reviews/aeid547.pdf
Download Restriction: no

Bibliographic Info

Article provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.

Volume (Year): 5 (2005)
Issue (Month): 4 ()
Pages:

as in new window
Handle: RePEc:eaa:aeinde:v:5:y:2005:i4_7

Contact details of provider:
Web page: http://www.usc.es/economet/eaa.htm

Order Information:
Email:
Web: http://www.usc.es/economet/info.htm

Related research

Keywords: Turkish Long-Term Macroeconomics; Structural Breaks;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ben-David, D. & Lumsdaine, L.R. & Papell, D.H., 1996. "Unit Roots Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks," Papers 33-96, Tel Aviv.
  2. Valadkhani, Abbas & Layton, Allan P. & Pahlavani, Mosayeb, 2005. "Multiple Structural Breaks in Australia's Macroeconomic Data: An Application of the Lumsdaine and Papell Test," Economics Working Papers wp05-17, School of Economics, University of Wollongong, NSW, Australia.
  3. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  4. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  5. Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University.
  6. Junsoo Lee & Mark C. Strazicich, 2003. "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089, November.
  7. Matthias Lutz, 1999. "Unit roots versus segmented trends in developing country output series," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 181-184.
  8. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
  9. Hilde Christiane Bj�rnland, 1999. "Structural breaks and stochastic trends in macroeconomic variables in Norway," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 133-138.
  10. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  11. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.
  12. Christian Weber, 2001. "Alternative lag length selection criteria and the split-trend stationarity hypothesis," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 237-247.
  13. Lee, Junsoo & Strazicich, Mark C, 2001. " Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-58, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Solarin Sakiru Adebola & Jauhari Dahalan, 2012. "Capital Mobility: An Application of Savings-Investment Link for Tunisia," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 1-11.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eaa:aeinde:v:5:y:2005:i4_7. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.