Özet:

The aim of this study is to examine the seasonal patterns which are seen widely in time series, using Hylleberg-Engle-Granger-Yoo (HEGY) seasonal unit root test (Hylleberg et all., 1990) and EngleGranger-Hylleberg-Lee (EGHL) seasonal cointegration test (Engle et all., 1993). These tests have been identified theoretically and tested using quarterly export-import data over the 1969:1 – 2014:1 periods. In both series, it is determined to have unit root at zero, ¼ and ¾ frequencies. This result shows that the series are possibly cointegrated. Therefore seasonal cointegration test is applied and detected that series are cointegrated at ¼ and ¾ frequency with one cointegration vector however not cointegrated at zero frequency. Cointegration estimations shows that export and one lagged export have positive effects on import and these effects are 12% and 22% respectively. Then, seasonal error correction model (SECM) is estimated at ¼ and ¾ frequency. The SECM results indicate that import fluctuations are adjusted 30% only one period

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