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Convergence and Cointegration Analysis under Structural Breaks: Application of Turkey Tourism Markets


  • Berhan ÇOBAN
  • Esin FİRUZAN


The purpose of this study is to examine the cointegration structure and to test the convergence hypothesis in Turkey’s tourism markets with monthly data over the period 1996-2016. To check the existence of convergence, we used international tourist arrivals to Turkey from each of Turkey’s 23 major markets. International tourist arrivals data of Turkey may comprise structural changes and volatility. These attributes may negatively affect the reliability of unit root and cointegration tests outcomes. Ignorance of volatility and breaks leads to decrease in the number of convergent tourism markets. Conventional Dickey Fuller unit root test, recently developed Lagrange multiplier (LM) and Residual Augmented Least Squares (RALS-LM) tests are performed to test the existence of convergence in the tourism market. Gregory Hansen and RALS based cointegration tests are used for checking long run relationship of the tourist arrivals data. The study reveals strong evidence that most of the tourism markets for Turkey are converging. This means that tourism policies and strategies are successful for convergent tourism markets. In addition, there is some long run relationship among the different tourism markets in the presence of structural break and volatility.

Suggested Citation

  • Berhan ÇOBAN & Esin FİRUZAN, 2019. "Convergence and Cointegration Analysis under Structural Breaks: Application of Turkey Tourism Markets," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(39).
  • Handle: RePEc:sos:sosjrn:190106

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    References listed on IDEAS

    1. Im, Kyung So & Schmidt, Peter, 2008. "More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares," Journal of Econometrics, Elsevier, vol. 144(1), pages 219-233, May.
    2. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "Cointegration of the prices of gold and silver: RALS-based evidence," Finance Research Letters, Elsevier, vol. 15(C), pages 133-137.
    3. Lorde, Troy & Moore, Winston, 2006. "Co-movement in tourist arrivals in the Caribbean," MPRA Paper 95598, University Library of Munich, Germany.
    4. Junsoo Lee & Mark C. Strazicich & Ming Meng, 2012. "Two-Step LM Unit Root Tests with Trend-Breaks," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 1(2), pages 1-8.
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    6. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
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    8. Meng, Ming & Payne, James E. & Lee, Junsoo, 2013. "Convergence in per capita energy use among OECD countries," Energy Economics, Elsevier, vol. 36(C), pages 536-545.
    9. Taylor, Mark P. & Peel, David A., 1998. "Periodically collapsing stock price bubbles: a robust test," Economics Letters, Elsevier, vol. 61(2), pages 221-228, November.
    10. Paresh Kumar Narayan, 2006. "Are Australia's tourism markets converging?," Applied Economics, Taylor & Francis Journals, vol. 38(10), pages 1153-1162.
    11. Paresh k. Narayan, 2007. "Testing Convergence Of Fiji’S Tourism Markets," Pacific Economic Review, Wiley Blackwell, vol. 12(5), pages 651-663, December.
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    More about this item


    Convergence Hypothesis; Unit Root test; Tourism Markets; Cointegration; Structural Breaks.;

    JEL classification:

    • Z32 - Other Special Topics - - Tourism Economics - - - Tourism and Development
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics


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