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Regime Nonstationarity and Nonlinearity in the Turkish Output Level

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  • Ozge Kandemir Kocaaslan

    (Department of Economics, Faculty of Economics and Administrative Sciences, Hacettepe University, Beytepe Campus, 06800 Cankaya, Ankara, Turkey)

Abstract

In this paper, we investigate the nonlinearity and nonstationarity of Turkish output series applying a Markov regime switching augmented Dickey Fuller unit root test. We document that the output series are characterized by a two-regime Markov switching unit root process. We show that output series is stationary in one regime and nonstationary in the other one. Moreover, we observe that the nonstationary regime corresponds to the recessionary periods in the Turkish economy. That is, the shocks to output are highly persistent in the recession regime, but they are transitory in the expansion regime. In addition, the time period in which the output series is found as stationary is longer than the one in which the output series has a unit root.

Suggested Citation

  • Ozge Kandemir Kocaaslan, 2016. "Regime Nonstationarity and Nonlinearity in the Turkish Output Level," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 503-507.
  • Handle: RePEc:eco:journ1:2016-02-20
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Unit Root; Markov Regime Switching Model; Output;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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