Akademik Veri Yönetim Sistemi
JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY, cilt.9, sa.2, ss.788-812, 2022 (ESCI)
Most of the algorithms used in the literature for the Granger (1969) causality test are based on a statistical significance test. The fact that the number of variables included in the model is sufficiently large may lead to some problems in the estimating of Granger causality test equations. Lozano et al. (2009) emphasizes that it is very important for Granger causality methods to formulate the group structure appropriately among lagged values of any time series. Bahadori and Liu (2013) stated that the Granger causality approach may not provide consistent results for a high-dimensional data set within sufficient number observations. In order to solve such problems in Granger causality tests, Granger causality approaches based on various penalized estimators are developed. The applications of Granger causality approaches based on various penalized estimators in the context of economic variables are very few in the literature. In this study, the causality relationship between goverment domestic debts and some basic macroeconomic indicators in Turkey is analyzed with Granger causality approaches based on various penalized estimators. According to the results of LASSO GN, elastic net GN and elastic net CGN tests, it was determined that there are bidirectional causal relationships between government debt, inflation, exchange rate, money supply, interest rate, industrial production index, and primary balance.