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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal:Business and Economics Research Journal
Title of Article:Seasonal Unit Root: An Application to Turkish Industrial Production Series
Author(s):Sinem Pinar Gürel, Murad Tiryakioglu
Volume:3
Number:4
Year:2012
Page:77-89
ISSN:1309-2448
Abstract

The aim of this study is to investigate the seasonal patterns of five Turkish manufacturing industry series which have the main characteristics of Turkish economy during the1977:1-2008:4 periods. Many economic time series are often subject to systematic fluctuations within the year such as seasonal movements. All the studies concerning time series methods are useful only when the series do not show seasonal patterns or the methods that care of seasonal patterns used. For this reason, it is important to investigate the seasonal patterns of the series when working with economic time series data. The analysis is conducted using the HEGY approach developed by Hylleberg, Engle, Granger and Yoo (1990). It is important to determine what kind of seasonality is present in the data. For this reason, we search for the seasonal unit root with five different models that concern, trends, constant and seasonal dummies. We provide evidence on the presence of seasonal unit roots in the Turkish manufacturing industry series. The main finding is that there are both deterministic and non-stationary stochastic seasonality in the series.

Keywords:Seasonality, Seasonal Unit Root, HEGY Test Approach, Turkish Industrial Production Series

JEL Classification:C01, L60

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