Author/Authors :
AYVAZ KIZILGÖL, Özlem Balıkesir Üniversitesi - Bandırma Iktisadi ve Idari Bilimler Fakültesi - Ekonometri Bölümü, Turkey
Abstract :
In this study, by using the quarterly of the 1987:1-2007:3 period, it is investigated whether or not the series of GDP, export, consumption and investment have seasonal unit roots and seasonal cointegration relationship. To this end, HEGY (1990) and Engle, Granger, Hylleberg and Lee (1993) tests are used. Although there isn’t any cointegration relationship detected among the series in the zero and biannual frequencies, in a quarterly frequency when there is one constant term an one dummy variable in the model, cointegration relationship is detected between GDP and consumption series.
