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

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  • ALTINAY, Galip

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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

Suggested Citation

  • ALTINAY, Galip, 2005. "Structural Breaks in Long-Term Turkish Macroeconomic Data,1923-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4).
  • Handle: RePEc:eaa:aeinde:v:5:y:2005:i4_7
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    References listed on IDEAS

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    1. 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.
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    3. 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 535-558, December.
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    7. Dan Ben-David & Robin L. Lumsdaine & David H. Papell, 2003. "Unit roots, postwar slowdowns and long-run growth: Evidence from two structural breaks," Empirical Economics, Springer, vol. 28(2), pages 303-319, April.
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    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.
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    Cited by:

    1. Miguel D. Ramirez, 2014. "Remittances and Economic Growth in Mexico: An Empirical Study with Structural Breaks, 1970-2010," Business and Economic Research, Macrothink Institute, vol. 4(1), pages 351-373, June.
    2. Nithin K, 2015. "The Case of Revenue versus Expenditure Optimization in India," Working Papers 1528, Indian Institute of Foreign Trade.
    3. 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.

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