Measuring the optimal macroeconomic uncertainty index for Turkey

Autor:	Erdem Havvanur Feyza, Yamak Rahmi
Jazyk:	angličtina
Rok vydání:	2016
Předmět:	macroeconomic uncertainty optimal macroeconomic uncertainty index BFGS algorithm GMM SUR Economic growth development planning HD72-88
Zdroj:	Ekonomski Anali, Vol 61, Iss 210, Pp 7-22 (2016)
Druh dokumentu:	article
ISSN:	0013-3264 1820-7375
DOI:	10.2298/EKA1610007E
Popis:	The aim of this study is to calculate the optimal macroeconomic uncertainty index for the Turkish economy. The data used in the study are quarterly and cover the period 2002-2014. In this study the index is formed based on the small structural macroeconomic model. The study uses three important econometric processes. First, the model is estimated separately using generalized method of moments (GMM), seemingly unrelated regressions (SUR), and ordinary least squares (OLS). Secondly, the Broyden-Fletcher- Goldfarb-Shanno (BFGS) algorithm is applied as an optimization algorithm. The BFGS algorithm calibrates the model using GMM, SUR, and OLS parameter estimations of the benchmark parameters. Next, the index variables are weighted under the estimated optimal coefficients and, finally, are aggregated to produce the optimal macroeconomic uncertainty index.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/f6c874c0d0024d25ab298412b5103f3c Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF