ekonometri Ödevi
TRANSCRIPT
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T.C. KOCAEL NVERSTES
SOSYAL BLMLER ENSTTS
KTSAT ANABLM DALIKTSAT POLTKASI YKSEK LSANS PROGRAMI
IMKB ENDEKS VE SELM MAKROEKONOMK DEKENLER
ZERNE EKONOMETRK ANALZ
AHMET TALHA ZDEMR
0450!0"0
D#$%&'#$(
D)*.D+. S,-*/ KO
KOCAEL 0"5
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*$1,/-,rBRNC BLM........................................................................................... 4
1.ARATIRMANIN AMACI VE NEM.............................................................4
1.1. Aratrmann Amac.................................................................................4KNC BLM.............................................................................................4
LTERATR TARAMASI.................................................................................4
2. DEKENLER ARASI LKLER................................................................4
2.1. !""# S#n#$! %!&at'ar !'# D()!* K+r+ !'!,!"!..................................................4
2.2 !""# S#n#$! %!&at'ar !'# A'tn !'!,!"!...........................................................5
2.- !""# S#n#$! %!&at'ar !'# ara Ar* /M10 !'!,!"!..............................................5
NC BLM......................................................................................... 6
-.DEKENLERN BELRLENMES................................................................6
-.1. S#!'#n D#3!,#n'#r.................................................................................6
-.1.1 m,4 155 En$#,"! /IMKB0...................................................................6
-.1.2 ara Ar* /M10................................................................................15
-.1.- A'tn /6RA0....................................................................................22
-.1.7 D()!* K+r+ /8SD0...........................................................................28
-.2 Aratrmann M#)"!m"#''!, Et,!"!...............................................................35
-.- Aratrmann 6#n#' Tr#n$ Et,!"!................................................................36DRDNC BLM...................................................................................40
7.M9DEL TAMNLER...............................................................................40
7.1 D:3r+"a' ; D:3r+"a' M:$#' Ta D:3r+"a' M:$#' Ta
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S9N8......................................................................................................50
Ka&na,a.................................................................................................... 51
GR
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&,"#, :'ma" n#$#n!&'# 62#262/6,- )-#+#/ #$-#'6%@1%+ )# nc $#r#c#$#n
2+,$1 ,2/6 =)/2+. B+ n#$#n'# 4+ m:$#' ,+''an'aca,"a nc $#r#c#$#n tr#n$
,art'ma'$r.
D#G#n$#nt Var!a4'# M8SAM#t
-
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:rm'n &a*ara, #'$# #$!'#n ":n+ca =(r# 4!r!nc! !,!nc! )# nc $#r#c# tr#n$
#t,!"!n!n Gr:4 $#3#r! 55? an'am $*#&!n$#n ,, :'+G 62#2/6,- )-#+#/
#$-#'-%1%+. B!r!nc! !,!nc! )# nc $#r#c#$#n 2+,$1 ,2/6 ?#+1%+.
D#G#n$#nt Var!a4'# M8SAM#t
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0$0
0$2
0$4
0$6
0$8
1$0
1$2
1$4
90 92 94 96 98 00 02 04 06 08 10 12 14
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. A+#&2%+'#$%$ M,?6'6,--/ E2/6T#, t#, m#)"!m"#''!, #t,!"!n$#n )# tr#n$ #t,!"!n$#n arn$r$3m*
m:$#'!m!*!n !m$!$# =#n#' m#)"!m"#''!, #t,!"!n$#n arn$rr"a, #'$# #$#c#3!m!*
=ra!, aa3$a,! #,!'$# :'+aca,tr.
-25,000
-20,000
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-10,000
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0
5,000
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90 92 94 96 98 00 02 04 06 08 10 12 14
M#E"E&
M:$#'!m!*!n tamam m#)"!m"#''!,t#n arn$r'$,tan ":nra :'+an n#=at!
$#3#r'#r$#n $# 22555 #,'#r#, ,+rt+'+r"a, =ra!3!m!*!n ":n
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0
5,000
10,000
15,000
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25,000
30,000
35,000
40,000
90 92 94 96 98 00 02 04 06 08 10 12 14
MM#E"E&
. A+#&2%+'#$%$ G,$,- T+,$1 E2/6M:$#'!m!*!n =#n#'! m#)"!m"#''!,t#n arn$r'$,tan ":nra tr#n$ #t,!"!n$#n $#
arn$ra'm 4+n+n !!n$# Y%$ $NIMKB C $NM1 $NR! $N#$! @TRENDZ
:rm'n +&=+'ar"a,
D#G#n$#nt Var!a4'# SNIMKBM#t
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!m$! !,!nc! $#r#c#$#n tr#n$ #t,!"!n!n t#"G!t! !!n Y%$ $NIMKB C $NM1
$NR! $N#$! @TREND^2Z :rm'n +&=+'ar"a,
D#G#n$#nt Var!a4'# SNIMKB
M#t5? 7.175 0.0000
SN6RA >.521 7?.552? >1.?21 0."94SN8SA >?1.2? 125.55 >.27 0.0000
[TREND\- 1.15E>1 -.2E>5? 2.?E>17 ".0000
R>"+ar#$ 5.17- M#an $#G#n$#nt )ar 22555.55A$J+"t#$ R>"+ar#$ 5.17-77 S.D. $#G#n$#nt )ar 51.2S.E. : r#=r#""!:n ?7-7.7-1 A,a!,# !n: cr!t#r!:n 25.5?7?S+m "+ar#$ r#"!$ .E5 ScU+!nn cr!t#r. 25.515
%>"tat!"t!c 1.752? D+r4!n>at":n "tat 5.2722?r:4/%>"tat!"t!c0 5.555555
40
-
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Tr#n$ $#3!,#n!n!n Gr:4 $#3#r! 55? t#n 4&, :'$+3+ !!n *$3 1,+,3,1,$
2+,$1 ,2/6 =)/2+.
B!r )# !,!nc! $#r#c#$#n tr#n$ #t,!"!n!n t#"G!t! !!n Y%$ $NIMKB C $NM1$NR! $N#$! @TREND @TREND^2Z :rm'n +&=+'ar"a,
D#G#n$#nt Var!a4'# SNIMKBM#t5? 7.122 0.0000
SN6RA >.521 7?.517 >1.?227 0."!0SN8SA >?1.2? 1215.- >.??2 0.0000
[TREND >.E>1- .27 >.E>17 ".0000[TREND\- .5E>1 .2E>5? .E>17 ".0000
R>" +ar#$ 5.17- M#an $# #n$#nt )ar 22555.55A$J+"t#$ R>"+ar#$ 5.11?2 S.D. $#G#n$#nt )ar 51.2S.E. : r#=r#""!:n ?77-.-2 A,a!,# !n: cr!t#r!:n 25.5172S+m "+ar#$ r#"!$ .E5 ScU+!nn cr!t#r. 25.5575
%>"tat!"t!c 17.-7 D+r4!n>at":n "tat 5.2722?r:4/%>"tat!"t!c0 5.555555
41
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Tr#n$ $#3!,#n!n!n Gr:4 $#3#r! 55? t#n 4&, :'$+3+ !!n +$3 ?, *$3
1,+,3,1,$ 2+,$1 ,2/6 =)/2+.
,!nc! )# nc $#r#c#$#n tr#n$ #t,!"!n!n t#"G!t! !!n Y%$ $NIMKB C $NM1$NR! $N#$! @TREND^2 @TREND^3Z :rm'n +&=+'ar"a,
D#G#n$#nt Var!a4'# SNIMKBM#t5? 7.1?5- 0.0000
SN6RA >.521 7?.1?5- >1.?2-7- 0."!SN8SA >?1.2? 1212. >.7?7 0.0000
[TREND .57E>12 -7.?22?7 2.--E>1- ".0000[TREND\2 >.1-E>17 5.2555 >2.-E>1- ".0000[TREND\- 1.-E>1 5.555?? 2.2E>1- ".0000
R>"+ar#$ 5.17- M#an $#G#n$#nt )ar 22555.55A$J+"t#$ R>"+ar#$ 5.17- S.D. $#G#n$#nt )ar 51.2
S.E. : r#=r#""!:n ?7?2.- A,a!,# !n: cr!t#r!:n 25.5S+m "+ar#$ r#"!$ .E5 ScU+!nn cr!t#r. 25.1515
42
-
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%>"tat!"t!c 12.1 D+r4!n>at":n "tat 5.2722?r:4/%>"tat!"t!c0 5.555555
Tr#n$ $#3!,#n!n!n Gr:4 $#3#r! 55? t#n 4&, :'$+3+ !!n +$3 /$3 ?,
*$3 1,+,3,1,$ 2+,$1 ,2/6 =)/2+.
DRDNC BLM
4.MODEL TAHMNLER
4." D)+6#- D)+6#- M)1,- T#'$-,+
D:3r+"a' M:$#' a$n 4a3m' )# 4a3m"* $#3!,#n'#r!n &an! #!t'!3!n "a3 )#
":' tarann $:3r+"a' 4!!m$# :'ma" #,'!n$# !a$# #$!'!r.
B+ 4('m$# #'# a'$3m* 4a3m' $#3!,#n!m!* /IMKB0 !'# 4a3m"*
$#3!,#n'#r!m!* / M1 6RA 8SA0 ara"n$a,! !'!,!&! m#)"!m"#''!, )# tr#n
#t,!"!n$#n arn$r'm
$NIMKB C $NM1 $NR! $N#$!Z :rm'&'# )#r!'#r!m!*# 4a,a'm
D#G#n$#nt Var!a4'# SNIMKBM#t
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0
10
20
30
40
50
60
-20000 -15000 -10000 -5000 0 5000 10000 15000
Se'ies( Residuals
Sa*+le 1990M01 2015M09
se'.ati/s 309
Mea -3$11e-12
Media 212$3221Mai*u* 16815$57
Mii*u* -20886$55
Std$ De.$ 5399$027
Seess -0$664839
Ku't/sis 6$198243
a'ue-Be'a 154$4588
'/ailit 0$000000
nc#'!,'# M:$#'$# SN6RA /Arn$r'm 6ram A'tn0 "#r!"! r:4 $#3#r! 55?$#3#r!n!n *#r!n$# :'$+3+ !!n 62#2/6,- )-#+#/ #$-#'6%@%1%+. ]ar+# B#ra t#"t
":n+ $#3#r! 1?77? $!r. K!>Kar# ta4': $#3#r! ? !'# ,ar'atr'$3n$an ]ar+#
B#ra $#3#r!n!n 4&, :'$+3+n+ =(rr* &an! art, t#r!m'#r!m!* $)+'#- 1#%-%'-%
1,-1+.
4. D)+6#- L)#+2'/ M)1,- T#'$-,+B+ m:$#'$# 4a3m' $#3!,#n!n $:3r+"a' )# 4a3m"* $#3!,#n'#r!n ':=ar!tm!,
&an! #!t'!3!n "a3 tarann $:3r+"a' )# ":' tarann ':=ar!tm!, 4!!m$# :'ma"#,'!n$# !a$# #$!'!r.
Ta
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r:4/%>"tat!"t!c0 5.555555
0
10
20
30
40
50
-20000 -15000 -10000 -5000 0 5000 10000 15000
Se'ies( Residuals
Sa*+le 1990M01 2015M09
se'.ati/s 309
Mea 8$41e-12Media 260$9398
Mai*u* 16688$76
Mii*u* -20602$61
Std$ De.$ 5573$659
Seess -0$535422
Ku't/sis 5$717125
a'ue-Be'a 109$8170
'/ailit 0$000000
E)!#F" ,t"n$an $a =(r'#c#3! *#r# m:$#'$# L96SN6RA /L:=.
Arn$r'm 6ram A'tn0 )# C "#r!'#r!n!n r:4 $#3#r! 55? $#3#r!n!n *#r!n$# :'$+3+
!!n 62#2/6,- )-#+#/ #$-#'6%@%1%+. ]ar+# B#ra t#"t ":n+ $#3#r! 1515 $!r. K!>
Kar# ta4': $#3#r! ? !'# ,ar'atr'$3n$an ]ar+# B#ra $#3#r!n!n 4&, :'$+3+n+
=(rr* &an! #+2%/ 2,+'-,+'@ $)+'#- 1#%-%'-% 1,-1+.
4. L)#+2'/ D)+6#- M)1,- T#'$-,+B+ m:$#'$# 4a3m' $#3!,#n!n ':=ar!tm!, )# 4a3m"* $#3!,#n'#r!n $:3r+"a'
&an! #!t'!3!n "a3 tarann ':=ar!tm!, )# ":' tarann $:3r+"a' 4!!m$# :'ma"
#,'!n$# !a$# #$!'!r.
Ta
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C 15.521 5.11?2? .77 0.0000SNM1 1.55E>5 -.5E>5 2.?1? 0.0"04
SN6RA >5.551- 5.55-7?7 >5.?-25?5 0.585"SN8SA >5.7?-? 5.52? >7.221 0.0000
R>"+ar#$ 5.5275 M#an $#G#n$#nt )ar .-5A$J+"t#$ R>"+ar#$ 5.5-7? S.D. $#G#n$#nt )ar 5.7---11S.E. : r#=r#""!:n 5.7151 A,a!,# !n: cr!t#r!:n 1.151-7S+m "+ar#$ r#"!$ ?-.5?1 ScU+!nn cr!t#r. 1.1211??%>"tat!"t!c .1757 D+r4!n>at":n "tat 5.2?71r:4/%>"tat!"t!c0 5.55555
0
20
40
60
80
100
120
140
160
-4$0 -3$5 -3$0 -2$5 -2$0 -1$5 -1$0 -0$5 0$0 0$5
Se'ies( Residuals
Sa*+le 1990M01 2015M09
se'.ati/s 309
Mea 1$27e-15
Media 0$061512
Mai*u* 0$632619
Mii*u* -3$902072
Std$ De.$ 0$415054
Seess -5$034799
Ku't/sis 38$49975
a'ue-Be'a 17530$98
'/ailit 0$000000
E)!#F" ,t"n$an $a =(r'#c#3! *#r# m:$#'$# SN6RA /Arn$r'm 6ram
A'tn0 "#r!"! r:4 $#3#r! 55? $#3#r!n!n *#r!n$# :'$+3+ !!n 62#2/6,- )-#+#/
#$-#'6%@%1%+. ]ar+# B#ra t#"t ":n+ $#3#r! 1?-5 $!r. K!>Kar# ta4': $#3#r! ?
!'# ,ar'atr'$3n$an ]ar+# B#ra $#3#r!n!n 4&, :'$+3+n+ =(rr* &an! art,
t#r!m'#r!m!* $)+'#- 1#%-%'-% 1,-1+.
4.4 L)#+2'/ L)#+2'/ M)1,- T#'$-,+B+ m:$#'$# 4a3m' $#3!,#n!n ':=ar!tm!, )# 4a3m"* $#3!,#n'#r!n
':=ar!tm!, &an! #!t'!3!n "a3 tarann ':=ar!tm!, )# ":' tarann ':=ar!tm!, 4!!m$#
:'ma" #,'!n$# !a$# #$!'!r.
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Var!a4'# C:#!c!#nt St$. Err:r t>Stat!"t!c P+).
C .15? 1.5?1 .17?2 0.0000L96/SNM10 5.11775 5.5155 1.571 0.0595L96/SN6RA0 >5.5125 5.55? >5.225- 0.!"!L96/SN8SA0 >5.2517 5.57?22 >7.7?1 0.0000
R>"+ar#$ 5.5527 M#an $#G#n$#nt )ar .-5A$J+"t#$ R>"+ar#$ 5.5?- S.D. $#G#n$#nt )ar 5.7---11S.E. : r#=r#""!:n 5.7251 A,a!,# !n: cr!t#r!:n 1.1121S+m "+ar#$ r#"!$ ?7.51175 ScU+!nn cr!t#r. 1.1-7-%>"tat!"t!c .17 D+r4!n>at":n "tat 5.271???r:4/%>"tat!"t!c0 5.555112
0
20
40
60
80
100
120
140
160
-4$0 -3$5 -3$0 -2$5 -2$0 -1$5 -1$0 -0$5 0$0 0$5
Se'ies( Residuals
Sa*+le 1990M01 2015M09
se'.ati/s 309
Mea 2$54e-15
Media 0$066496
Mai*u* 0$629093
Mii*u* -3$887941
Std$ De.$ 0$418762
Seess -4$818451
Ku't/sis 36$52825
a'ue-Be'a 15669$05
'/ailit 0$000000
E)!#F" ,t"n$an $a =(r'#c#3! *#r# m:$#'$# L96SN6RA /L:=ar!tm!,
Arn$r'm 6ram A'tn0 )# L96SNM1 /L:=. Arn$r'm M10 "#r!'#r!n!n r:4
$#3#r! 55? $#3#r!n!n *#r!n$# :'$+3+ !!n 62#2/6,- )-#+#/ #$-#'6%@%1%+. ]ar+#
B#ra t#"t ":n+ $#3#r! 1?5? $!r. K!>Kar# ta4': $#3#r! ? !'#
,ar'atr'$3n$an ]ar+# B#ra $#3#r!n!n 4&, :'$+3+n+ =(rr* &an! art,
t#r!m'#r!m!* $)+'#- 1#%-%'-% 1,-1+.
BENC BLM
5.YAPILAN STATSTKSEL TESTLER
5." ;T,62
47
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:,'+ r#=r#"&:n$a r#=r#"&:n "a4!t!
5 41^42^_^4, ^5 /,"m! #3!m ,at"a&'ar "r$an ar,' $#3!'$!r.0
1 41 42
_ 4, 5 /,"m! #3!m ,at"a&'ar "r$an ar,'$r.0
:'ara, :rm'# #$!'!r. S#!'#n 4#''! 4!r an'am $*#&! )# a,'a&c $#3!,#n
"a&" !'# "#r4#"t'!, $#r#c#"!n# =(r# % ta4': $#3#r! 4+'+n+r. rn#,t# #'$# #$!'#n %
$#3#r! % ta4': $#3#r!n$#n ,,"#
5. T T,62
:,'+ r#=r#"&:n$a m:$#'!n$#
4!r #,!'$# "r$an ar,'$r $! &:r+m'anr.
5. O-#6%-%/ :P+)< T,62
B+ra$a !"#
$a %>Gr:4 $#3#r! !"# m:$#' !"tat!"t!,"#' :'ara, an'am' :'aca,tr.
5. R
T,62
48
-
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Ba3m' $#3!,#n!n Ba3m"* $#3!,#n'#r taran$an &*$# ,a', ,"mnn
a,'an$3n !a$# #$#n 4!r :ran$r. 5 !'# 1 ara"n$a $#3#r a'r )# 1 # &a,'at,a
a,'ama ,a4!'!t!n!n artt3nn =("t#r=#"!$!r.
ALTINCI BLM
.MODEL TESPT
." PE T,62
B+ t#"t! &aGar,#n (nc#'!,'! :'ara,
':=ar!tma"n a'ara, )# D:=> D:= m:$#'!m!*!n 4a3m' $#3!,#n!n# a!t =#r#,
$#3#r'#r!n$#n ,ar'ara, #'$# #$!'#n /EANT%LL0 "#r!&! ':=>':= m:$#'!*$# 7.
D#3!,#n :'ara, ,+''anaca3*.
De+edet a'iale( &,#S"IMKB
Met:/d( &east Sua'es
Date( 11;18;15 !i*e( 14(30
Sa*+le( 1990M01 2015M09
Icluded /se'.ati/s( 309
a'iale
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'/F-statistic 0$000000
+'at3m* ta7. 2-.172- >-.71 5.555-SNM1 5.555212 2.1E>5? .125 5.5555
SN8SA >7?.71 21.-? >1?.?222 5.5555PELOG;DD """8."4 !.50 8.08! 0.0000
R>"+ar#$ 5.2 M#an $#G#n$#nt )ar 22555.55A$J+"t#$ R>"+ar#$ 5.77 S.D. $#G#n$#nt )ar 51.2S.E. : r#=r#""!:n 2-.??7 A,a!,# !n: cr!t#r!:n 1.275S+m "+ar#$ r#"!$ 2.-E5 ScU+!nn cr!t#r. 1.722%>"tat!"t!c 21.2?7 D+r4!n>at":n "tat 5.?-55-r:4/%>"tat!"t!c0 5.555555
@#n! #,'#$!3!m!* ta
-
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L:=>L:= m:$#' !'# $:=>$:= m:$#' ara"n$a 4!r "#!m &aGma, !"t#$!3!m!*$#
,+''an'a4!'#c#, 4!r $!3#r m:$#' $# BM t#"t!$!r. B+ t#"t! &aGar,#n 0 !ar#t'! :'$+3+ =(r'mtr. N#=at! $#3#r!n
':=ar!tma" a'nama&aca3 !!n 4+ $#3#r'#r! G:*!t!
-
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SamG'# 15M51 251?M5Inc'+$#$ :4"#r)at!:n" -5
Var!a4'# C:#!c!#nt St$. Err:r t>Stat!"t!c r:4.
C >5.7572? 5.2-?71 >2.55-?? 5.5--L96/SN6RA0 >5.575 5.51-55 >7.?7 5.5555L96/SNM10 5.1-5- 5.5125 11.??22 5.5555
L96/SN8SA0 >5.21?- 5.5511 >2-.?52 5.5555LOGRDD 0.!"4 0.00840" !9.!44 0.0000
R67#+,1 0.8440 M#an $#G#n$#nt )ar .-5A$J+"t#$ R>"+ar#$ 5.-5 S.D. $#G#n$#nt )ar 5.7---11S.E. : r#=r#""!:n 5.527 A,a!,# !n: cr!t#r!:n >2.1-?-1S+m "+ar#$ r#"!$ 2.5 Sc2.5121L:= '!,#'!U+!nn cr!t#r. >2.112-%>"tat!"t!c 257.2 D+r4!n>at":n "tat 1.2?2727P+):;62#2623< 0.000000
,t$a Gr:4 $#3#r! $# an'am'$r =#$ ')1,-'@ + 2$ )-#+#/ #$-#'-%
*%/'%&2%+.B+ra$a Sa4!t 6ram A'tn %!&at'ar !'# D:'ar Sat K+r+ ara"n$a,! !'!,!
t#r" &(n' !'!,! =(*'m#,t#$!r.
B+ ":n+'ar n#t!c#"!n$# BM t#"t! ":n+c+na =(r# $:= ; $:= )#&a ':= ; ':=
m:$#''#r!n !,!"!n$# $# #,'#n#n $(r$nc Garam#tr#'#r!n Q+)Q 1,,+-,+ 005 $
#-2%$1# =#$ 62#262/6,- )-#+#/ #$-#'-%1%+. B 1+'1# PE 2,62$$ 1)+
/+-'#1%% 6)$3$# ?#+%-%+ ?, 2,+3 =#Q#'#'#/2#=%@.
SON
Tr,! C+m
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S:n+ :'ara, E )# BM t#"t'#r!n!n !,!"!n!n$# $# #,'#m! :'$+3+m+* $(r$nc
Garam#tr#n!n /G#ant'' ; G#':=$$0 Gr:4 $#3#r'#r!n!n #$-#'-% )-1
>+-',/2,1+. B 1+'1# PE ?, BM 2,62-,+ $,23,6$1, 1)1) ?, -)-)
')1,--,+$1,$ ,+#$ +$ 2,+3 ,1,',',/2,=@.
Da
#$!'m#"!n# ,arn !'#r!,! aama$a &aGtm* arn$rma )# m:$#''#r!n %E )# BM !'#
t#"t #$!'m#"!n$# $:3r+ 4!r m:$#' t#rc!
#t,!"! :'$+3+ =(r'mtr. B+n+n n#$#n! :'ara,ta &atrm &aGma, !"t#n
:&+nc+'arn G!&a"a$a 4#''! 4!r "a&a 4+'+nan B:r"a A'tn )#&a D:'ar ara"n$a t#rc!