Regime Nonstationarity and Nonlinearity in the Turkish Output Level

Ozge Kandemir Kocaaslan
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Ozge Kandemir Kocaaslan: Department of Economics, Faculty of Economics and Administrative Sciences, Hacettepe University, Beytepe Campus, 06800 Cankaya, Ankara, Turkey

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 2, 503-507

Abstract: In this paper, we investigate the nonlinearity and nonstationarity of Turkish output series applying a Markov regime switching augmented Dickey Fuller unit root test. We document that the output series are characterized by a two-regime Markov switching unit root process. We show that output series is stationary in one regime and nonstationary in the other one. Moreover, we observe that the nonstationary regime corresponds to the recessionary periods in the Turkish economy. That is, the shocks to output are highly persistent in the recession regime, but they are transitory in the expansion regime. In addition, the time period in which the output series is found as stationary is longer than the one in which the output series has a unit root.

Keywords: Unit Root; Markov Regime Switching Model; Output (search for similar items in EconPapers)
JEL-codes: C22 C24 E23 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2016-02-20

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