Modelling Seasonality – An Extension of the HEGY Approach in the Presence of Two Structural Breaks

Authors

  • Ozlem Tasseven Okan University, Banking and Finance Department, Istanbul Turkey

DOI:

https://doi.org/10.2298/PAN0804465T

Keywords:

Okan University, banking and Finance Department, Istanbul, Deterministic seasonality, Structural breaks, Money demand, Turkish economy

Abstract

In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account.

Key words: HEGY Seasonal unit root test, Deterministic seasonality, Structural breaks, Money demand, Turkish economy.
JEL: C01, C15, C51, C88, E41.

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Published

2008-10-10

How to Cite

Tasseven, O. (2008). Modelling Seasonality – An Extension of the HEGY Approach in the Presence of Two Structural Breaks. Panoeconomicus, 55(4), 465–484. https://doi.org/10.2298/PAN0804465T

Issue

Section

Original scientific paper