GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR

Erdal ATUKEREN (ETH Zurich, KOF Swiss Economic Institute, Zürih, İsviçre.)
Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi
18 0
Yıl: 2011 Cilt: 25 Sayı: Özel Sayfa Aralığı: 137 - 153 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR

Öz:
Bu çalışmanın amacı Granger'ın geliştirdiği nedensellik sınamalarına iki yeni yaklaşımı düşünsel ve teorik bazda incelemektir. Çalışma ilk olarak, uzun ve kısa dönemde Granger-nedensellik konusundaki görüşleri irdeler. Literatürde kısa ve uzun dönemde nedensellik konusunda bir kavram birliği yoktur. Bir yaklaşım hata düzeltme modellerini, diğer bir yaklaşım ise öngörü ufkunu esas alır. Çalışma ikinci olarak, Grangernedensellik sınamalarının varyans-bazlı (causality-in-variance) varyantını ve bu konudaki gelişmeleri inceler. Granger-nedensellik sınamaları geleneksel olarak ortalama-bazlı yapılmaktadır (causality-in-mean). Ancak, özellikle yüksek frekanslı verilerde volatilite etkileşimlerinin analizi varyans bazında da nedenselliğin sınanmasını gerektirir. Çalışma Granger-nedensellik sınamalarına yeni yaklaşımların genel bir değerlendirmesi ve bilim felsefesi açısından düşündürdükleri ile son bulur
Anahtar Kelime:

Konular: İşletme İktisat

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Öz:
This study analyses two new approaches to Grangercausality on conceptual grounds. First, the views on the short-run and the long-run causality, on which there is no unity on the definition in the literature, are investigated. One approach is based on error correction models while another approach takes the prediction horizon as the basis. Secondly, we survey the literature on the notion of causality-in-variance. Granger-causality tests are traditionally conducted in means. However, causality-in-variance becomes especially relevant in high frequency data. We conclude with an evaluation of these approaches to Granger-causality and their link to the notion of causality in philosophy of science
Anahtar Kelime:

Konular: İşletme İktisat
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA ATUKEREN E (2011). GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. , 137 - 153.
Chicago ATUKEREN Erdal GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. (2011): 137 - 153.
MLA ATUKEREN Erdal GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. , 2011, ss.137 - 153.
AMA ATUKEREN E GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. . 2011; 137 - 153.
Vancouver ATUKEREN E GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. . 2011; 137 - 153.
IEEE ATUKEREN E "GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR." , ss.137 - 153, 2011.
ISNAD ATUKEREN, Erdal. "GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR". (2011), 137-153.
APA ATUKEREN E (2011). GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25(Özel), 137 - 153.
Chicago ATUKEREN Erdal GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi 25, no.Özel (2011): 137 - 153.
MLA ATUKEREN Erdal GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol.25, no.Özel, 2011, ss.137 - 153.
AMA ATUKEREN E GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2011; 25(Özel): 137 - 153.
Vancouver ATUKEREN E GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2011; 25(Özel): 137 - 153.
IEEE ATUKEREN E "GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR." Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25, ss.137 - 153, 2011.
ISNAD ATUKEREN, Erdal. "GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR". Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi 25/Özel (2011), 137-153.
Sayfa Oluşturulma Tarihi
23-04-2024 2:47

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