Uzay-Zaman Ardışık Bağlanım Hareketli Ortalama (UZABHO) Modelleri ve Tahmin Süreci: Türkiye’de Bölgesel Banka Mevduatları Üzerine Bir Uygulama

Batu Tunay ()
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Batu Tunay: Vocational School, Yildiz Technical University

No 27, Working Papers from Yildiz Technical University, Department of Economics

Abstract: This paper aims to introduce space-time autoregressive moving average (STARMA) models and to explain estimation procedure of these models. Despite the contribution of modelling approach of Pfeifer and Deutsch (1980a, 1980b, 1981a, 1981b ve 1981c), this work is based upon theoretical explanations and findings of Giacomini and Granger (2004). In the first section of paper, structure of STARMA models is explained. In the second section, modelling and estimation procedure are analyzed in detail. In the third, a STARMA modelling of commercial banks’ deposits based upon geographical districts and an estimation-oriented application are constructed.

Keywords: Space-Time Models; Spatial Dependence; STARMA Models; VARMA Models; State-Space Models; ML Estimator; Commercial Banks; Deposits (search for similar items in EconPapers)
JEL-codes: C21 C32 C51 G21 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2009-12, Revised 2009-12
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