M.Sc. Tezi Görüntüleme

      Time seriesis a set of measurements which taken at regular intervals over period of time.Overall, this thesis tried to give information about time series and also makeapplications related to it. In the first chapter, basic concept of time series,stationary, unit tests and model selection criteria are explained. In the second part, the structural break tests and cointegrationwere studied. In the third part, between2005:01-2010:12 periods, the dollar rate data’s stationarity were analyzed and with its results, its nonstationarity wereinvestigated whether caused structural break or not. For analysing structuralbreak, Perron (1989), Zivot Andrews (1992) andPerron (1997) approacheswere used. In addition, during theperiods 2004:01-2009:12, the stability of relationsbetween Dollar, Euro and Sterlingrate data were analyzed by using monthly data. Whether the data haverelationship among each other or not were seek by cointegration analysis and to this end,Engle-Granger and Johansen methods were used.

      Key Words: Unit Root, Cointegration, Structural Break