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Uzay-Zaman Ardışık Bağlanım Hareketli Ortalama (UZABHO) Modelleri ve Tahmin Süreci: Türkiye’de Bölgesel Banka Mevduatları Üzerine Bir Uygulama

Author

Listed:
  • K. Batu Tunay

    (Vocational School, Yildiz Technical University)

Abstract

This paper aims to introduce space-time autoregressive moving average (STARMA) models and to explain estimation procedure of these models. Despite the contribution of modelling approach of Pfeifer and Deutsch (1980a, 1980b, 1981a, 1981b ve 1981c), this work is based upon theoretical explanations and findings of Giacomini and Granger (2004). In the first section of paper, structure of STARMA models is explained. In the second section, modelling and estimation procedure are analyzed in detail. In the third, a STARMA modelling of commercial banks’ deposits based upon geographical districts and an estimation-oriented application are constructed.

Suggested Citation

  • K. Batu Tunay, 2009. "Uzay-Zaman Ardışık Bağlanım Hareketli Ortalama (UZABHO) Modelleri ve Tahmin Süreci: Türkiye’de Bölgesel Banka Mevduatları Üzerine Bir Uygulama," Working Papers 0027, Yildiz Technical University, Department of Economics, revised Dec 2009.
    • Handle: RePEc:yil:wpaper:0027
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    File URL: http://www.ikt.yildiz.edu.tr/RePEc/yil/makaleler/tunay0027.pdf
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    More about this item

    Keywords

    Space-Time Models; Spatial Dependence; STARMA Models; VARMA Models; State-Space Models; ML Estimator; Commercial Banks; Deposits;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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