Open Access
Exploring the Relationship between Consumer Credits and Interest Rates in Turkey: A Fractional Cointegration Analysis RESEARCH PAPER
Reads0
Chats0
TLDR
In this paper, the relationship between consumer credits and interest rates in Turkey based on the fractional cointegration approach was investigated by using daily observations over the period from 4 January 2002 to 24 December 2010.Abstract:
This paper investigates the relationship between consumer credits and interest rates in Turkey based on the fractional cointegration approach by using daily observations over the period from 4 January 2002 to 24 December 2010. First, we ignore the possible structural breaks in the series and perform the Geweke and Porter-Hudak (GPH) test on the residuals for fractional cointegration. Second, we determine the structural breaks “endogenously” by using a minimum LM unit root test and reapply the GPH test on the new residuals obtained from a cointegrating regression estimated with the detrended series. The results indicate that consumer credits and interest rates are fractionally cointegrated in both cases, with and without structural breaks.read more
References
More filters
Journal ArticleDOI
An introduction to long‐memory time series models and fractional differencing
TL;DR: Generation and estimation of these models are considered and applications on generated and real data presented, showing potentially useful long-memory forecasting properties.
Journal ArticleDOI
The estimation and application of long memory time series models
John Geweke,Susan Porter-Hudak +1 more
TL;DR: In this article, a new estimator of the long memory parameter in these models is proposed, based on the simple linear regression of the log periodogram on a deterministic regressor.
Journal ArticleDOI
Some properties of time series data and their use in econometric model specification
TL;DR: In this paper, it was suggested that some aspects of this practice should be brought out into the open, and the type of equations to be considered are generating equations, so that a simulation of the explanatory side should produce the major properties of the variable being explained.
Posted Content
Minimum LM Unit Root Test with One Structural Break
Junsoo Lee,Mark C. Strazicich +1 more
TL;DR: In this paper, the authors proposed a minimum LM unit root test that endogenously determines a structural break in intercept and trend, and showed that rejection of the null unambiguously implies a trend stationary process.