IDEAS home Printed from https://ideas.repec.org/a/voj/journl/v55y2008i4p465-484id261.html
   My bibliography  Save this article

Modelling Seasonality – An Extension of the HEGY Approach in the Presence of Two Structural Breaks

Author

Listed:
  • Ozlem Tasseven

Abstract

In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account. Key words: HEGY Seasonal unit root test, Deterministic seasonality, Structural breaks, Money demand, Turkish economy.JEL: C01, C15, C51, C88, E41.

Suggested Citation

  • Ozlem Tasseven, 2008. "Modelling Seasonality – An Extension of the HEGY Approach in the Presence of Two Structural Breaks," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 55(4), pages 465-484.
    • Handle: RePEc:voj:journl:v:55:y:2008:i:4:p:465-484:id:261
    as

    Download full text from publisher

    File URL: https://panoeconomicus.org/index.php/jorunal/article/view/261/250
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Okan University; banking and Finance Department; Istanbul; Deterministic seasonality; Structural breaks; Money demand; Turkish economy;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:voj:journl:v:55:y:2008:i:4:p:465-484:id:261. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ivana Horvat (email available below). General contact details of provider: https://panoeconomicus.org/index.php/jorunal/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.