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Modelling Seasonality An Extension of the HEGY Approach in the Presence of Two Structural Breaks

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Author Info
Ozlem Tasseven () (Okan University, banking and Finance Department, Istanbul Turkey)
Abstract

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.

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File URL: http://www.panoeconomicus.rs/casopis/dvanaestibroj/modelling%20seasonality.pdf
File Format: application/pdf
File Function: First version, 2008
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Publisher Info
Paper provided by Faculty of economics, Department of Economics in its series Working Papers with number 200843.

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Length: 19 pages
Date of creation: Sep 2008
Date of revision: Dec 2008
Publication status: Published in Panoeconomicus, December 2008, pages 465-484
Handle: RePEc:voj:wpaper:200843

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Web page: http://www.panoeconomicus.rs/

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Related research
Keywords: HEGY Seasonal unit root test; Deterministic seasonality; Structural breaks; Money demand; Turkish economy;

Find related papers by JEL classification:
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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