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Seasonal behaviour of the consumer price index of Turkey

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  • Evren Erdoğan Cosar

Abstract

In this study, the seasonal properties of the consumer price index (CPI) of Turkey are investigated with the use of Hylleberg et al. (HEGY) and Canova-Hansen (CH) seasonal unit root tests. According to the test results, there is evidence of nonstationary stochastic seasonality as well as deterministic seasonality in the Turkish consumer prices.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850500397544&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 13 (2006)
Issue (Month): 7 ()
Pages: 449-455

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Handle: RePEc:taf:apeclt:v:13:y:2006:i:7:p:449-455

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  1. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
  2. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
  3. Soner Baskaya & Pelin Berkmen & H.Murat Ozbilgin & Erdal Yilmaz, 1999. "TEFE ve TUFE Endeksleri ile Alt Kalemlerindeki Mevsimsel Hareketlerin Incelenmesi," Working Papers 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  4. R. Stuart McDougall, 1994. "The stability of velocity: a test for seasonal cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 1(9), pages 152-157.
  5. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
  6. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
  7. John Ashworth & Barry Thomas, 1999. "Patterns of seasonality in employment in tourism in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 6(11), pages 735-739.
  8. R. Stuart McDougall, 1996. "Seasonal unit root characteristics of disaggregated output," Applied Economics Letters, Taylor & Francis Journals, vol. 3(12), pages 749-753.
  9. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
  10. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  11. Shipra Banik & Param Silvapulle, 1999. "Testing for Seasonal Stability in Unemployment Series: International Evidence," Empirica, Springer, vol. 26(2), pages 123-139, June.
  12. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
  13. Christine Lim & Michael McAleer, 2000. "A seasonal analysis of Asian tourist arrivals to Australia," Applied Economics, Taylor & Francis Journals, vol. 32(4), pages 499-509.
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