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

  • ALTINAY, Galip

    ()

. 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

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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:

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Handle: RePEc:eaa:aeinde:v:5:y:2005:i4_7
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  1. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  2. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  3. Dan Ben-David & Robin L. Lumsdaine & David H. Papell, 1998. "Unit Roots, Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks," NBER Working Papers 6397, National Bureau of Economic Research, Inc.
  4. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  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. VALADKHANI, A. & LAYTON, Allan P. & PAHLAVANI, M., 2005. "Multiple Structural Breaks In Australia’S Macroeconomic Data: An Application Of The Lumsdaine And Papell Test," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 31-44.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
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