The roles of the public sector and the private sector in the economy of North Cyprus: Empirical evidence from Markov Switching.

Tursoy, Turgut (2018): The roles of the public sector and the private sector in the economy of North Cyprus: Empirical evidence from Markov Switching.

Abstract

This paper purpose is to examine the regime shift of public sector and private sector investments on economic growth in North Cyprus using with the Markov Switching Regression technique for the period from the first quarter of the year 1982 to the last quarter of the year of 2015. Both sector investments having a causal effect on the economic growth at the concerned period and method provide the necessary evidence for the regime shifts. Two-regime (growth path/recession path) model has been estimated to analyse the Markov-switching model, Markov transition probabilities, constant expected durations, and smoothed regime probabilities.

• Item Type: MPRA Paper
• Language: English
• Keywords: Public Sector; Private Sector; Economic Growth; Crises; Markov Switching.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; H - Public Economics > H3 - Fiscal Policies and Behavior of Economic Agents

References

Fama, E. F., & French, K. R. (1988). “Dividend yields and expected stock returns”. Journal of financial economics, 22(1), 3-25.

Fong, W. M., & See, K. H. (2002).”A Markov switching model of the conditional volatility of crude oil futures prices”. Energy Economics, 24(1), 71-95.

Frühwirth‐Schnatter, S. (2004).”Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques”. The Econometrics Journal, 7(1), 143-167.

Goldfeld, Stephen M. and Richard E. Quandt (1973).“A Markov Model for Switching Regressions,” Journal of Econometrics, 3–16.

Hamilton, James D. (1996). “Specification Testing in Markov-switching Time-series Models,” Journal of Econometrics, 70, 127–157.

Kim, C. J., Piger, J., &Startz, R. (2008). “Estimation of Markov regime-switching regression models with endogenous switching”. Journal of Econometrics, 143(2), 263-273.

Maddala, G. S. (1986). “Disequilibrium, Self-Selection, and Switching Models,” Handbook of Econometrics, Chapter 28 in Z. Griliches& M. D. Intriligator (eds.), Handbook of Econometrics, Volume 3, Amsterdam: North- Holland.

Perron, P., &Vogelsang, T. J. (1992).”Nonstationarity and level shifts with an application to purchasing power parity”. Journal of Business & Economic Statistics, 10(3), 301-320.

Sims, C. A., Waggoner, D. F., &Zha, T. (2008).”Methods for inference in large multiple-equation Markov-switching models”. Journal of Econometrics, 146(2), 255-274.

Tursoy, T., & Faisal, F. (2017). “Validity of FH hypothesis in small isolated island economy: an application of the combined cointegration approach”. Asia-Pacific Journal of Accounting & Economics, 1-11.

Türsoy, T. (2013),“Forecasting Economic Growth Rate: the Case of North Cyprus”, NEU Journal of Social Sciences, Vol. 6, Issue 1, pp. 193-207.