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Sanayi Uretiminde Tatil Etkileri

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  • Necmettin Alpay KOCAK

    () (Turkish Statistical Institute)

Abstract

Omitting the official and religious holidays which are deterministic components of a time series causes a bias on analyzing of economic time series and this biased series comparisons will be at fault. In this study, I will discuss how the holiday variables can be constructed and analyzed in Turkish industrial production index (2005=100). I will also discuss how this effect adjust from original series and interpretation of this effects. According to application results achieved by RegARIMA model, it is carried out moving holidays have negative and statistical signifact effects on industrial production index. In addition, it is found out that rather than level of series, holiday effects makes an unignorable difference on growth rate of series.

Suggested Citation

  • Necmettin Alpay KOCAK, 2009. "Sanayi Uretiminde Tatil Etkileri," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 10(1), pages 20-28, November.
  • Handle: RePEc:ist:ancoec:v:10:y:2009:i:1:p:20-28
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    File URL: http://eidergisi.istanbul.edu.tr/sayi10/iueis10m2.pdf
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    Keywords

    Time Series Decomposition; Stochastic Components; Deterministic Components; Holiday Effects; Religious Holidays; SARIMA; RegARIMA; Airline Model;

    JEL classification:

    • 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

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