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Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar

Yıl 2021, Cilt: 9 Sayı: 1, 15 - 23, 16.06.2021

Tayfur Bayat Gökhan Konat

Öz

İktisat politikaların temel amacı sürdürülebilir ve dengeli büyümeyi sağlamaktadır. Uygulanan ekonomik politikalarının etkinliğinin gözlemlendiği makroekonomik değişken ise gayrisafi yurtiçi hâsıladır. Bu çalışmada 1970–2018 döneminde Avusturya, Belçika, Kanada, Şili, Danimarka, Fransa, Almanya, Yunanistan, İtalya, Hollanda, Norveç, Meksika, İspanya, İsveç, İsviçre, Birleşik Krallık ve Amerika Birleşik Devletleri’nden oluşan panelde ortak faktör olarak brüt sermaye oluşumu, küreselleşme endeksi ve mülteci nüfusu, temel değişken olarak kişi başı reel gayrisafi yurtiçi hasılanın çok faktörlü hata yapısı varlığında durağan olup olmadığı test edilmektedir. Bu amaçla Lee vd. (2016) tarafından geliştirilen test kullanılmıştır. Bu test, Pesaran vd. (2013) tarafından önerilen yatay-kesitsel olarak genişletilmiş panel birim kök testinin (CIPS) genişletilmiş hali olup Fourier fonksiyonları ile modellenen deterministik terimlerdeki yumuşak yapısal değişimleri yakalamayı amaçlamaktadır. Burada önerilen istatistik, kırılma ile genişletilmiş CIPS (BCIPS) istatistiği olarak adlandırılmıştır. BCIPS panel birim kök testi, değişkenler arasındaki yatay kesit bağımlılığını hesaba katan ikinci nesil bir birim kök testidir. Ampirik analiz sonuçlarına göre Klasik iktisadın konjonktürel dalgalanmaların deterministik bir trend etrafında durağan dalgalanmalar olduğu öngörüsünü desteklemektedir.

Anahtar Kelimeler

GSYİH Çok Faktörlü Hata Fourier BCIPS Panel Birim Kök

Kaynakça

  • Aslanidis, N. & Fountas S. (2014). Is Real GDP Stationary? Evidence From A Panel Unit Root Test With Cross-Sectional Dependence And Historical Data. Empirical Economics, 46, 101-108.
  • Bai, J.,andNg, S. (2002). Determining the Number of Factors in Approximate Factor Models. Econometrica, 70(1), 191–221.
  • Ben-David D, Papell DH (1995) The great wars, the great crash, and the steady state growth: some new evidence about an old stylized fact. J Monet Econ 36:453–475.
  • Carrion-i-Silverstre, Joseph Lluis., Tomas del Barrio-Castro and Enriqe Lopez-Bazo. (2005) Breaking the panels. An application to the GDP per capita, Econometrics Journal, 8, 159-175.
  • Chang, T., Lee, K. C., Kang, S. C., & Liu, W. C. (2008). Is per capita real GDP stationary in Latin American countries? Evidence from a panel stationary test with structural breaks. Economics Bulletin, 3(31), 1-12.
  • Chang, H.L. & Su, C.W. (2011). Is Per Capita Real Gdp Stationary? Non-Linear Panel Unit-Root Tests From Eastern-European Countries. Journal of Economics and Business, Volume: XIV, No: 2, 65-74.
  • Chang, T., H-P. Chu & Ranjbar. O. (2014). Are GDP Fluctuations Transitory or Permanent in African Countries? Sequential Panel Selection Method. International Review of Economics and Finance, 29: 380-399.
  • Cuestas, J. C., & Garratt, D. (2011). Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing. Empirical Economics, 41(3), 555-563. Çınar, S. (2010). OECD Ülkelerinde Kişi Başına GSYİH Durağan mı? Panel Veri Analizi. Marmara Üniversitesi İİBF Dergisi, Cilt: XXIX, Sayı: II: 591-601.
  • Durlauf SN (1989) Output persistence, economic structure, and the choice of stabilization policy. Brook Pap Econ Activity 2:69–136.
  • Eickmeier, S. (2009). Comovements and Heterogeneity in the Euro Area Analyzed in a Non‐Stationary Dynamic Factor Model. Journal of Applied Econometrics, 24(6), 933–959.
  • Elliott, G., Tothenberg, T. J., Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica 64:813–836.
  • Enders, W.,and Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574–599.
  • Fleissig, A.R. & Strauss, J. (1999). Is OECD Real Per Capita GDP Trend Or Difference Stationary? Evidence From Panel Unit Root Test. Journal of Macroeconomics, 21(4), 673-690.
  • Firat, H. (2016). Is real GDP stationary? Evidence from some unit root tests for the advanced economies. Journal of Social and Economic Statistics, 5(2), 60-80.
  • Furuoka, F. (2011). Is GDP in ASEAN Countries Stationary? New Evidence from Panel Unit Root Tests. Economics Bulletin, Vol. 31 No.2: 1391-1400.
  • Güloğlu, B. & Ivrendi M. (2010). Output Fluctuations: Transitory or Permanent? The Case of Latin America. Applied Economics Letters, 17(4): 381–386.
  • Hadri, K. & Rao Y. (2009). Are OECD Macroeconomic Variables Trend Stationary? Evidence From Panel Stationarity Tests Allowing for a Structural Break and Cross- Sectional Dependence, The Singapore Economic Review. 54(03), 427-440.
  • Hegwood, N., & Papell, D. H. (2007). Are real GDP levels trend, difference, or regime-wise trend stationary? Evidence from panel data tests incorporating structural change. Southern Economic Journal, 104-113.
  • Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115(1), 53-74.
  • Im, K. S., Lee, J., & Tieslau, M. (2005). Panel LM unit‐root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Kapetanios G, Shin Y, Snell A (2003) Testing for a unit root in the nonlinear STAR framework. J Econom 112:359–379.
  • Lee, C.,Wu, J. L., veYang, L. (2016). A Simple Panel Unit‐Root Test With Smooth Breaks in the Presence of a Multi factor Error Structure. Oxford Bulletin of Economics and Statistics, 78(3), 365–393.
  • Murray, C. J., & Papell, D. H. (2001). Testing for unit roots in panels in the presence of structural change with an application to OECD unemployment. In Nonstationary panels, panel cointegration, and dynamic panels. Emerald Group Publishing Limited.
  • Murthy, V. N., & Anoruo, E. (2009). Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?''. Economics Bulletin, 29(4), 2492-2504.
  • Moon, H. R.,and Perron, B. (2004). Testing for a Unit Root in Panels With Dynamic Factors. Journal of Econometrics, 122(1), 81–126.
  • Nahar, J. N., Nayeem, S., & Israt, R. M. (2013). Are the real GDP series in Asian countries nonstationary or nonlinear stationary?. Russian Journal of Agricultural and Socio-Economic Sciences, 18(6).
  • Narayan, P. K. (2007). Are G7 per capita real GDP levels non-stationary, 1870–2001?. Japan and the World Economy, 19(3), 374-379.
  • Nelson, C. & Plosser, C. (1982). Trends and Random Walks in Macroeconomic Time Series. Journal of Monetary Economics, 10: 139–162.
  • Öztürk, I. & Kalyoncu, H. (2007). Is Per Capita Real GDP Stationary in the OECD Countries? Evidence from a Panel Unit Root Test. Ekonomski Pregled, 58(11), pp. 680-688.
  • Pesaran, M. H. (2006). Estimation and İnference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012.
  • Pesaran, M. H. (2007). A Simple Panel Unit Root Test in The Presence of Cross‐Section Dependence. Journal of AppliedEconometrics, 22(2), 265–312.
  • Pesaran, M. H., Smith, L. V., and Yamagata, T. (2013). Panel UnitRootTestsin the Presence of a Multifactor Error Structure. Journal of Econometrics, 175(2), 94–115.
  • Solarin, S., & Anoruo, E. (2015). Nonlinearity and the Unit Root Hypothesis for African Per Capita Real GDP. International Economic Journal, 29(4), 617–630.
  • Tiwari, A. K., A. Chaudhari & K. G. Suresh (2012), “Are Asian Per Capita GDP Stationary? Evidence from First and Second Generation Panel Unit RootTests”, Transit Stud. Rev. 19: 3–11.
  • Utrera, G. E. (2001). Is the Argentine GDP Stationary Around a Broken Trend?. Documentos de Investigación.
  • Ying, Z., Dong, C. R., Chang, H. L., & Su, C. W. (2014). Are Real GDP Levels Stationary in A frican Countries?. South African Journal of Economics, 82(3), 392-401.
  • Zellner, A. (1962). An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias. Journal of the American Statistical Association, 57, 348-368.
  • Zeren, F. ve İşlek H., (2019). Is Per Capita Real GDP Stationary in the D-8 Countries? Evidence from a Panel Unit Root Test. Selected Topiccs in Applied Econometrics, SBN:978-3-631-79571-2.

GDP Stationarıity Test By Smooth Breaks in The Presence of A Multifactor Error Structure: Evidence From OECD Countries

Yıl 2021, Cilt: 9 Sayı: 1, 15 - 23, 16.06.2021

Tayfur Bayat Gökhan Konat

Öz

The main purpose of economic policies is to ensure sustainable and balanced growth. The macroeconomic variable in which the effectiveness of the applied economic policies is observed is the gross domestic product. In this study, it is tested whether the gross capital formation, globalization index and the refugee population as common factors in the panel composed of the Austria, Belgium, Canada, Chile, Denmark, France, Germany, Greece, Italy, Netherlands, Norway, Mexico, Spain, Sweden, Switzerland, United Kingdom and United States of America in the period of 1970-2018 and the real gross domestic product per capita as the main variable are stable in the presence of a multi-factor error structure. For this purpose, test developed by Lee (2016) were used. This test is an extension of the cross-sectional expanded panel unit root test (CIPS) proposed by Pesaran (2013) and aims to capture smooth structural changes in deterministic terms modeled by Fourier functions. The statistic proposed here is called the CIPS (BCIPS) statistic extended by break. BCIPS panel unit root test is a second generation unit root test that takes into account the cross sectional dependency between variables. According to the results of empirical analysis, it supports the prediction that cyclical fluctuations of classical economics are stable fluctuations around a deterministic trend.

Anahtar Kelimeler

GDP Multifactor Error Fourier BCIPS Panel Unit Root

Kaynakça

  • Aslanidis, N. & Fountas S. (2014). Is Real GDP Stationary? Evidence From A Panel Unit Root Test With Cross-Sectional Dependence And Historical Data. Empirical Economics, 46, 101-108.
  • Bai, J.,andNg, S. (2002). Determining the Number of Factors in Approximate Factor Models. Econometrica, 70(1), 191–221.
  • Ben-David D, Papell DH (1995) The great wars, the great crash, and the steady state growth: some new evidence about an old stylized fact. J Monet Econ 36:453–475.
  • Carrion-i-Silverstre, Joseph Lluis., Tomas del Barrio-Castro and Enriqe Lopez-Bazo. (2005) Breaking the panels. An application to the GDP per capita, Econometrics Journal, 8, 159-175.
  • Chang, T., Lee, K. C., Kang, S. C., & Liu, W. C. (2008). Is per capita real GDP stationary in Latin American countries? Evidence from a panel stationary test with structural breaks. Economics Bulletin, 3(31), 1-12.
  • Chang, H.L. & Su, C.W. (2011). Is Per Capita Real Gdp Stationary? Non-Linear Panel Unit-Root Tests From Eastern-European Countries. Journal of Economics and Business, Volume: XIV, No: 2, 65-74.
  • Chang, T., H-P. Chu & Ranjbar. O. (2014). Are GDP Fluctuations Transitory or Permanent in African Countries? Sequential Panel Selection Method. International Review of Economics and Finance, 29: 380-399.
  • Cuestas, J. C., & Garratt, D. (2011). Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing. Empirical Economics, 41(3), 555-563. Çınar, S. (2010). OECD Ülkelerinde Kişi Başına GSYİH Durağan mı? Panel Veri Analizi. Marmara Üniversitesi İİBF Dergisi, Cilt: XXIX, Sayı: II: 591-601.
  • Durlauf SN (1989) Output persistence, economic structure, and the choice of stabilization policy. Brook Pap Econ Activity 2:69–136.
  • Eickmeier, S. (2009). Comovements and Heterogeneity in the Euro Area Analyzed in a Non‐Stationary Dynamic Factor Model. Journal of Applied Econometrics, 24(6), 933–959.
  • Elliott, G., Tothenberg, T. J., Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica 64:813–836.
  • Enders, W.,and Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574–599.
  • Fleissig, A.R. & Strauss, J. (1999). Is OECD Real Per Capita GDP Trend Or Difference Stationary? Evidence From Panel Unit Root Test. Journal of Macroeconomics, 21(4), 673-690.
  • Firat, H. (2016). Is real GDP stationary? Evidence from some unit root tests for the advanced economies. Journal of Social and Economic Statistics, 5(2), 60-80.
  • Furuoka, F. (2011). Is GDP in ASEAN Countries Stationary? New Evidence from Panel Unit Root Tests. Economics Bulletin, Vol. 31 No.2: 1391-1400.
  • Güloğlu, B. & Ivrendi M. (2010). Output Fluctuations: Transitory or Permanent? The Case of Latin America. Applied Economics Letters, 17(4): 381–386.
  • Hadri, K. & Rao Y. (2009). Are OECD Macroeconomic Variables Trend Stationary? Evidence From Panel Stationarity Tests Allowing for a Structural Break and Cross- Sectional Dependence, The Singapore Economic Review. 54(03), 427-440.
  • Hegwood, N., & Papell, D. H. (2007). Are real GDP levels trend, difference, or regime-wise trend stationary? Evidence from panel data tests incorporating structural change. Southern Economic Journal, 104-113.
  • Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115(1), 53-74.
  • Im, K. S., Lee, J., & Tieslau, M. (2005). Panel LM unit‐root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Kapetanios G, Shin Y, Snell A (2003) Testing for a unit root in the nonlinear STAR framework. J Econom 112:359–379.
  • Lee, C.,Wu, J. L., veYang, L. (2016). A Simple Panel Unit‐Root Test With Smooth Breaks in the Presence of a Multi factor Error Structure. Oxford Bulletin of Economics and Statistics, 78(3), 365–393.
  • Murray, C. J., & Papell, D. H. (2001). Testing for unit roots in panels in the presence of structural change with an application to OECD unemployment. In Nonstationary panels, panel cointegration, and dynamic panels. Emerald Group Publishing Limited.
  • Murthy, V. N., & Anoruo, E. (2009). Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?''. Economics Bulletin, 29(4), 2492-2504.
  • Moon, H. R.,and Perron, B. (2004). Testing for a Unit Root in Panels With Dynamic Factors. Journal of Econometrics, 122(1), 81–126.
  • Nahar, J. N., Nayeem, S., & Israt, R. M. (2013). Are the real GDP series in Asian countries nonstationary or nonlinear stationary?. Russian Journal of Agricultural and Socio-Economic Sciences, 18(6).
  • Narayan, P. K. (2007). Are G7 per capita real GDP levels non-stationary, 1870–2001?. Japan and the World Economy, 19(3), 374-379.
  • Nelson, C. & Plosser, C. (1982). Trends and Random Walks in Macroeconomic Time Series. Journal of Monetary Economics, 10: 139–162.
  • Öztürk, I. & Kalyoncu, H. (2007). Is Per Capita Real GDP Stationary in the OECD Countries? Evidence from a Panel Unit Root Test. Ekonomski Pregled, 58(11), pp. 680-688.
  • Pesaran, M. H. (2006). Estimation and İnference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012.
  • Pesaran, M. H. (2007). A Simple Panel Unit Root Test in The Presence of Cross‐Section Dependence. Journal of AppliedEconometrics, 22(2), 265–312.
  • Pesaran, M. H., Smith, L. V., and Yamagata, T. (2013). Panel UnitRootTestsin the Presence of a Multifactor Error Structure. Journal of Econometrics, 175(2), 94–115.
  • Solarin, S., & Anoruo, E. (2015). Nonlinearity and the Unit Root Hypothesis for African Per Capita Real GDP. International Economic Journal, 29(4), 617–630.
  • Tiwari, A. K., A. Chaudhari & K. G. Suresh (2012), “Are Asian Per Capita GDP Stationary? Evidence from First and Second Generation Panel Unit RootTests”, Transit Stud. Rev. 19: 3–11.
  • Utrera, G. E. (2001). Is the Argentine GDP Stationary Around a Broken Trend?. Documentos de Investigación.
  • Ying, Z., Dong, C. R., Chang, H. L., & Su, C. W. (2014). Are Real GDP Levels Stationary in A frican Countries?. South African Journal of Economics, 82(3), 392-401.
  • Zellner, A. (1962). An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias. Journal of the American Statistical Association, 57, 348-368.
  • Zeren, F. ve İşlek H., (2019). Is Per Capita Real GDP Stationary in the D-8 Countries? Evidence from a Panel Unit Root Test. Selected Topiccs in Applied Econometrics, SBN:978-3-631-79571-2.
Toplam 38 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Tayfur Bayat 0000-0002-4427-0999

Gökhan Konat 0000-0002-0964-7893

Yayımlanma Tarihi 16 Haziran 2021
Kabul Tarihi 9 Haziran 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 9 Sayı: 1

Kaynak Göster

APA Bayat, T., & Konat, G. (2021). Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar. Journal of International Management Educational and Economics Perspectives, 9(1), 15-23.
AMA Bayat T, Konat G. Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar. Journal of International Management Educational and Economics Perspectives. Haziran 2021;9(1):15-23.
Chicago Bayat, Tayfur, ve Gökhan Konat. “Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar”. Journal of International Management Educational and Economics Perspectives 9, sy. 1 (Haziran 2021): 15-23.
EndNote Bayat T, Konat G (01 Haziran 2021) Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar. Journal of International Management Educational and Economics Perspectives 9 1 15–23.
IEEE T. Bayat ve G. Konat, “Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar”, Journal of International Management Educational and Economics Perspectives, c. 9, sy. 1, ss. 15–23, 2021.
ISNAD Bayat, Tayfur - Konat, Gökhan. “Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar”. Journal of International Management Educational and Economics Perspectives 9/1 (Haziran 2021), 15-23.
JAMA Bayat T, Konat G. Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar. Journal of International Management Educational and Economics Perspectives. 2021;9:15–23.
MLA Bayat, Tayfur ve Gökhan Konat. “Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar”. Journal of International Management Educational and Economics Perspectives, c. 9, sy. 1, 2021, ss. 15-23.
Vancouver Bayat T, Konat G. Çok Faktörlü Hata Yapısı Varlığında Yumuşak Kırılmalarla GDP Durağanlık Sınaması: OECD Ülkelerinden Kanıtlar. Journal of International Management Educational and Economics Perspectives. 2021;9(1):15-23.
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