City price convergence in Turkey with structural breaks

Bilgili, Faik (2011): City price convergence in Turkey with structural breaks.

Abstract

This paper explores relative price convergence for 18 cities in Turkey. The convergence implies stationarity in the long run. Henceforth, to observe whether price convergence occurs or not, this study conducts unit root tests following Lee and Strazicich (2003) with two structural breaks in level and/or trend. The test statistics reveal that 13 out of 18 consumer price indexes converge. The half-life measurement points out that the speed of convergence of each city is considerably high. This result indicates that the half of the cumulative shocks persists for a short time period.

• Item Type: MPRA Paper
• Language: English
• Keywords: Lagrange multiplier unit root tests, structural breaks, price convergence, half-life, Turkish economy
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; D - Microeconomics > D4 - Market Structure, Pricing, and Design > D40 - General; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications

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