Application of nonlinear unit root tests and threshold autoregressive models

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Türkiye

Tezin Onay Tarihi: 2012

Öğrenci: ELA UYSAL

Danışman: DİLEM YILDIRIM KASAP

Özet:

Popularity of nonlinear threshold models and unit root tests has increased after the recent empirical studies concerning the effects of business cycles on macroeconomic data. These studies have shown that an economic variable may react differently in response to downturns and recoveries in a business cycle. Inspiring from empirical results, this thesis investigates dynamics of Turkish key macroeconomic data, namely capacity utilization rate, growth of import and export volume indices, growth of gross domestic product, interest rate for cash loans in Turkish Liras and growth of industrial production index. Estimation results imply that capacity utilization rate and growth of industrial production index show M-TAR type nonlinear stationary behavior according to the unit root test proposed by Enders and Granger (1998).