Eşiksiz LSTAR Doğrusal-dışılığına Karşı Yeni Bir Birim Kök Testi

Yıl 2022, Cilt: 17 Sayı: 2, 311 - 326, 01.08.2022

Atilla Hepkorucu

Öz

Öz
Çalışmada, eşik içermeyen durağan LSTAR doğrusal-dışı yapısı alternatifine karşı basit bir birim kök testi önerilmiştir. Monte Carlo simülasyonları ile kritik değerler, boyut ve güç özellikleri incelenmiştir. Geliştirilen testin gücü, doğrusal Dickey ve Fuller (DF) (1979) ve doğrusal olmayan Kapetanios, Shin ve Snell (KSS) (2003) birim kök testleri ile karşılaştırılmıştır. Eşik etkisi olmadığı varsayılarak geliştirilen test (F_(LSTAR,c=0) ), karşılaştırılanlara göre daha uygundur. Testin ampirik uygulaması OECD ülkeleri ve Avrupa 1961(i)-1986(iv) endüstriyel üretim verileri için yapılmıştır. Uygulama kısmında kullanılan veriler, LSTAR model yapısına uygun olduğu için seçilmiştir. Çalışmanın literatüre katkısı, eşiksiz LSTAR model yapısına sahip zaman serilerinin birim kök yapısını açıklayan alternatif bir test mekanizması elde etmektir. Ampirik uygulama sonuçları göstermektedir ki, testin kullanımı ilgili model yapısı altında uygundur.

Anahtar Kelimeler

LSTAR model, Birim Kök Testi, Doğrusal-dışılık, Endüstriyel Üretim.

A New Unit Root Test Against LSTAR Nonlinearity without Threshold

Öz

In this paper, a simple unit root test was proposed against the alternative of stationary LSTAR nonlinearity without a threshold effect. The critical values, size and power properties were examined with Monte Carlo simulations. The power of the developed test was compared with linear Dickey and Fuller (DF) (1979) and nonlinear Kapetanios, Shin and Snell (KSS) (2003) unit root tests. The developed test (F_(LSTAR,c=0) ) assumed that no-threshold effect is more suitable than the comparable ones. The empirical application of the test was carried out for industrial production data from OECD countries and Europe 1961(i) - 1986(iv). The data used in the application part has been chosen, because it is suitable for the LSTAR model structure. The contribution of the study to the literature is to obtain an alternative test mechanism that explains the unit root structure of time series LSTAR model structure without a threshold. Empirical application results show that the use of the test is appropriate under the relevant model structure.

Anahtar Kelimeler

LSTAR model, Unit Root test, nonlinearity, Industrial production.

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