ZAMANSAL TOPLULAŞTIRMANIN BİRİM KÖK TESTLERİ ÜZERİNDEKİ ETKİSİ

Year 2019, Issue: 24, 233 - 258, 24.07.2019

Sinem Eyüboğlu , Zehra Abdioğlu

https://doi.org/10.18092/ulikidince.498854

Cited By: 4

Abstract

Yüksek frekanslı serilerden düşük frekanslı seriler
elde edilmesine zamansal toplulaştırma denir. Bu çalışmada, zamansal
toplulaştırmanın iki farklı yaklaşımı olan sistematik örnek ve ortalama örnek
toplulaştırmaları kullanılarak, toplulaştırmanın standart birim kök testleri
üzerindeki etkisinin incelenmesi amaçlanmıştır. Bu amaçla çalışmada 1990-2015
dönemi itibari ile M1, fiyat, rezerv ve kur serileri kullanılmıştır. Logaritmik
dönüşüme tabi tutulmuş ve tutulmamış aylık frekanstaki serilerden her iki
toplulaştırma biçimine göre üçer aylık ve yıllık frekanslarda seriler elde
edilmiştir. Logaritmik dönüşüm yapılıp yapılmaması serilerin seviyelerinde
birim kök testleri bakımından pek bir farklılık yaratmazken, birinci
farklarında bazı farklı bulguların çıkmasına yol açmıştır. Aynı zamanda
toplulaştırma biçimi de birim kök testi sonuçlarını etkilemiştir.

Keywords

Zamansal Toplulaştırma, Sistematik Örnek, Ortalama Örnek

EFFECT OF TEMPORAL AGGREGATION ON UNIT ROOT TESTS

Abstract

The low-frequency
series obtained from high-frequency series is called temporal aggregation. The
aim of this study is to investigate the effect of aggregation on standard unit
root tests using systematic sampling and average sampling aggregations, which
are two different approaches of temporal aggregation. In this study, M1, price,
reserve and exchange rate series are used for the period 1990 to 2015. Both
quarterly and yearly frequencies are obtained by using both types of
aggregations with logarithmic and non-logarithmic monthly frequency series.
According to the results, logarithmic transform does not cause a significant
difference in terms of unit root tests at the levels of the series, it led some
different findings in the first differences of the series. Additionally, the
results of the unit root test are affected by the aggregation forms.

Keywords

Temporal Aggregation, Systematic Sampling, Average Sampling

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