##KONVENSİYEL BANKACILIK IÇIN ADF BİRİM KÖK TESTLERİ##
Eğer p-value < 0.05 ise, H0 reddedilir ve seri durağandır. Eğer p-value > 0.05 ise, seri durağan değildir (fark alma gibi işlemler gerekebilir).
library(readxl)## Warning: package 'readxl' was built under R version 4.4.2TA <- read_excel("C:/TA.xlsx")
View(TA)head(TA)## # A tibble: 6 × 4
## Tarih TP YP Genel_Toplam
## <chr> <dbl> <dbl> <dbl>
## 1 2015Q1 1271371. 744648. 2016019.
## 2 2015Q2 1317232. 789773. 2107005.
## 3 2015Q3 1350565. 921681. 2272246.
## 4 2015Q4 1367915. 868080. 2235995.
## 5 2016Q1 1394369. 889853. 2284222.
## 6 2016Q2 1437455. 912463. 2349918.summary(TA)## Tarih TP YP Genel_Toplam
## Length:40 Min. : 1271371 Min. : 744648 Min. : 2016019
## Class :character 1st Qu.: 1728396 1st Qu.: 1111533 1st Qu.: 2884280
## Mode :character Median : 2506435 Median : 1968557 Median : 4372608
## Mean : 4901183 Mean : 3363862 Mean : 8265045
## 3rd Qu.: 5881576 3rd Qu.: 5135412 3rd Qu.:11026402
## Max. :17450365 Max. :10661980 Max. :28010680library(urca)## Warning: package 'urca' was built under R version 4.4.3library(tseries)## Warning: package 'tseries' was built under R version 4.4.3## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zootime_series1 <- ts(TA, start = c(2015, 1), frequency = 4)adf_results <- list()adf_results$TP <- ur.df(diff(TA$TP), type = "drift", lags = 1)
summary(adf_results$TP)##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1088728 -71491 -19944 117323 507234
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.968e+04 5.837e+04 1.023 0.314
## z.lag.1 -1.321e-01 8.792e-02 -1.502 0.142
## z.diff.lag -1.800e-02 2.505e-01 -0.072 0.943
##
## Residual standard error: 275600 on 34 degrees of freedom
## Multiple R-squared: 0.06822, Adjusted R-squared: 0.01341
## F-statistic: 1.245 on 2 and 34 DF, p-value: 0.3008
##
##
## Value of test-statistic is: -1.5023 1.1364
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94columns_to_test <- colnames(TA)[-1]
for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(TA[[col]]), type = "drift", lags = 1)
}
for (col in names(adf_results)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: TP ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1088728 -71491 -19944 117323 507234
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.968e+04 5.837e+04 1.023 0.314
## z.lag.1 -1.321e-01 8.792e-02 -1.502 0.142
## z.diff.lag -1.800e-02 2.505e-01 -0.072 0.943
##
## Residual standard error: 275600 on 34 degrees of freedom
## Multiple R-squared: 0.06822, Adjusted R-squared: 0.01341
## F-statistic: 1.245 on 2 and 34 DF, p-value: 0.3008
##
##
## Value of test-statistic is: -1.5023 1.1364
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YP ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1374412 -188432 -75306 128091 1497679
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.783e+05 1.013e+05 1.760 0.08738 .
## z.lag.1 -7.683e-01 2.500e-01 -3.073 0.00415 **
## z.diff.lag -2.391e-01 1.991e-01 -1.201 0.23793
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 479100 on 34 degrees of freedom
## Multiple R-squared: 0.4467, Adjusted R-squared: 0.4141
## F-statistic: 13.72 on 2 and 34 DF, p-value: 4.27e-05
##
##
## Value of test-statistic is: -3.0734 4.7464
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2763196 -147995 -22898 128080 1893404
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.677e+05 1.485e+05 1.129 0.2669
## z.lag.1 -2.487e-01 1.447e-01 -1.719 0.0947 .
## z.diff.lag -4.177e-01 2.304e-01 -1.813 0.0787 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 684000 on 34 degrees of freedom
## Multiple R-squared: 0.2278, Adjusted R-squared: 0.1824
## F-statistic: 5.015 on 2 and 34 DF, p-value: 0.01235
##
##
## Value of test-statistic is: -1.7188 1.4774
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------H0 (Boş hipotez): Seride birim kök vardır, yani seri durağan değildir. H1 (Alternatif hipotez): Seride birim kök yoktur, yani seri durağandır. Test, serilerin birinci farkı üzerinde yapılıyor. Eğer birinci fark durağan çıkarsa, orijinal seri I(1) (birinci dereceden entegre) olarak sınıflandırılır. tau2 istatistiği, kritik değerlerle karşılaştırılır. Eğer tau2 kritik değerden daha negatifse, H0 reddedilir ve seri durağan kabul edilir. t-istatistiği ve p-değeri, z.lag.1 katsayısının anlamlılığını gösterir. Düşük p-değeri, H0’ın reddedilmesini destekler.
tau2 istatistiği, kritik değerlerle karşılaştırılır. Eğer tau2 kritik değerden daha negatifse, H0 reddedilir ve seri durağan kabul edilir. t-istatistiği ve p-değeri, z.lag.1 katsayısının anlamlılığını gösterir. Düşük p-değeri, H0’ın reddedilmesini destekler.
TP ve Genel_Toplam serilerinin birinci farkları durağan değil.Dolayısıyla 2.farkı alınarak yeniden test edilir
Bunun için aşağıdaki testi yapa biliriz
adf_results[["TP_second_diff"]] <- ur.df(diff(TA[["TP"]], differences = 2), type = "drift", lags = 1)
adf_results[["Genel_Toplam_second_diff"]] <- ur.df(diff(TA[["Genel_Toplam"]], differences = 2), type = "drift", lags = 1)
summary(adf_results[["TP_second_diff"]])##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1138466 -91907 -5859 151470 463004
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 26281.4100 50305.8067 0.522 0.60486
## z.lag.1 -1.6127 0.4629 -3.484 0.00142 **
## z.diff.lag 0.3553 0.2806 1.266 0.21426
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 282100 on 33 degrees of freedom
## Multiple R-squared: 0.3996, Adjusted R-squared: 0.3632
## F-statistic: 10.98 on 2 and 33 DF, p-value: 0.0002211
##
##
## Value of test-statistic is: -3.4836 6.3604
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94summary(adf_results[["Genel_Toplam_second_diff"]])##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3161505 -68526 5059 79877 1732360
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.917e+04 1.218e+05 0.239 0.812269
## z.lag.1 -1.964e+00 4.685e-01 -4.192 0.000195 ***
## z.diff.lag 2.563e-01 2.662e-01 0.963 0.342714
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 713300 on 33 degrees of freedom
## Multiple R-squared: 0.605, Adjusted R-squared: 0.5811
## F-statistic: 25.28 on 2 and 33 DF, p-value: 2.204e-07
##
##
## Value of test-statistic is: -4.1919 9.0264
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94#Mobil Bankacılık Para Transferleri (İşlem hacmi milyon TL)
#Kendi hesabına (KH) ve Üçüncü Kişilere(UKY) yapılan HAVALE
MobillBnk_PT <- read_excel("C:/MobillBnk_PT.xlsx")
View(MobillBnk_PT)time_series2 <- ts(MobillBnk_PT, start = c(2015, 1), frequency =4)adf_results <- list()columns_to_test <- colnames(MobillBnk_PT)[-1]
for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(MobillBnk_PT[[col]]), type = "drift", lags = 1)
}
for (col in names(adf_results)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: EFT ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -472014 1663 3397 22855 104513
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1019.3311 14305.7542 -0.071 0.944
## z.lag.1 -1.2542 0.2548 -4.922 2.17e-05 ***
## z.diff.lag 0.1193 0.1702 0.701 0.488
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 87010 on 34 degrees of freedom
## Multiple R-squared: 0.5666, Adjusted R-squared: 0.5411
## F-statistic: 22.22 on 2 and 34 DF, p-value: 6.721e-07
##
##
## Value of test-statistic is: -4.9216 12.1112
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -105124 303 502 3637 20630
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -201.3888 3214.0072 -0.063 0.95
## z.lag.1 -1.2186 0.2531 -4.814 2.99e-05 ***
## z.diff.lag 0.1055 0.1705 0.619 0.54
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 19550 on 34 degrees of freedom
## Multiple R-squared: 0.5562, Adjusted R-squared: 0.5301
## F-statistic: 21.31 on 2 and 34 DF, p-value: 1.005e-06
##
##
## Value of test-statistic is: -4.8137 11.5862
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3555.8 2.4 19.9 101.8 1072.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.07871 112.23132 -0.072 0.943037
## z.lag.1 -1.02736 0.23874 -4.303 0.000135 ***
## z.diff.lag 0.05544 0.17113 0.324 0.747962
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 682.7 on 34 degrees of freedom
## Multiple R-squared: 0.4885, Adjusted R-squared: 0.4584
## F-statistic: 16.23 on 2 and 34 DF, p-value: 1.123e-05
##
##
## Value of test-statistic is: -4.3033 9.2598
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -108838 328 487 3551 20489
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -209.1377 3321.8857 -0.063 0.950
## z.lag.1 -1.2096 0.2527 -4.787 3.24e-05 ***
## z.diff.lag 0.1022 0.1706 0.599 0.553
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 20210 on 34 degrees of freedom
## Multiple R-squared: 0.5535, Adjusted R-squared: 0.5272
## F-statistic: 21.07 on 2 and 34 DF, p-value: 1.115e-06
##
##
## Value of test-statistic is: -4.7873 11.4593
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -240333 752 1398 11120 69122
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -671.95848 7593.88045 -0.088 0.930
## z.lag.1 -1.26004 0.26097 -4.828 2.86e-05 ***
## z.diff.lag 0.08049 0.17089 0.471 0.641
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 46190 on 34 degrees of freedom
## Multiple R-squared: 0.5859, Adjusted R-squared: 0.5615
## F-statistic: 24.05 on 2 and 34 DF, p-value: 3.101e-07
##
##
## Value of test-statistic is: -4.8283 11.6564
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19004.1 51.2 89.3 1010.4 3533.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -42.99044 561.73280 -0.077 0.939
## z.lag.1 -1.07066 0.24118 -4.439 9.05e-05 ***
## z.diff.lag 0.07543 0.17094 0.441 0.662
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3417 on 34 degrees of freedom
## Multiple R-squared: 0.5008, Adjusted R-squared: 0.4714
## F-statistic: 17.05 on 2 and 34 DF, p-value: 7.43e-06
##
##
## Value of test-statistic is: -4.4392 9.8538
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -259879 799 1472 11748 70125
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -713.04365 8131.09909 -0.088 0.931
## z.lag.1 -1.24443 0.25955 -4.795 3.17e-05 ***
## z.diff.lag 0.07902 0.17091 0.462 0.647
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 49450 on 34 degrees of freedom
## Multiple R-squared: 0.5794, Adjusted R-squared: 0.5546
## F-statistic: 23.42 on 2 and 34 DF, p-value: 4.04e-07
##
##
## Value of test-statistic is: -4.7945 11.4939
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: HA_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -368952 1065 1897 16455 86060
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -9.199e+02 1.142e+04 -0.081 0.936
## z.lag.1 -1.233e+00 2.574e-01 -4.791 3.2e-05 ***
## z.diff.lag 8.612e-02 1.708e-01 0.504 0.617
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 69470 on 34 degrees of freedom
## Multiple R-squared: 0.571, Adjusted R-squared: 0.5458
## F-statistic: 22.63 on 2 and 34 DF, p-value: 5.637e-07
##
##
## Value of test-statistic is: -4.7914 11.4791
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2249.77 2.02 9.04 120.57 526.15
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.67868 69.79037 -0.010 0.992
## z.lag.1 -1.17023 0.24935 -4.693 4.28e-05 ***
## z.diff.lag 0.09643 0.17067 0.565 0.576
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 424.5 on 34 degrees of freedom
## Multiple R-squared: 0.538, Adjusted R-squared: 0.5109
## F-statistic: 19.8 on 2 and 34 DF, p-value: 1.988e-06
##
##
## Value of test-statistic is: -4.6931 11.0126
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -844568 2853 4866 41445 181255
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1931.0612 25602.6609 -0.075 0.94
## z.lag.1 -1.2383 0.2552 -4.853 2.66e-05 ***
## z.diff.lag 0.1055 0.1705 0.619 0.54
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 155700 on 34 degrees of freedom
## Multiple R-squared: 0.5651, Adjusted R-squared: 0.5395
## F-statistic: 22.09 on 2 and 34 DF, p-value: 7.128e-07
##
##
## Value of test-statistic is: -4.8527 11.7744
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------library(writexl)## Warning: package 'writexl' was built under R version 4.4.3adf_summary <- data.frame(
Degisken = c("EFT", "KH_A_TP_HA", "KH_A_YP_HA", "KH_A_Toplam", "U_S_Y_TP_HA",
"U_S_Y_YP_HA", "U_S_Y_Toplam", "HA_Toplam", "Dov_TR", "Genel_Toplam"),
tau2_Test_Istatistigi = c(-4.9216, -4.8137, -4.3033, -4.7873, -4.8283, -4.4392,
-4.7945, -4.7914, -4.6931, -4.8527),
t_Istatistigi_z_lag_1 = c(-4.922, -4.814, -4.303, -4.787, -4.828, -4.439, -4.795,
-4.791, -4.693, -4.853),
p_Degeri = c(2.17e-05, 2.99e-05, 0.000135, 3.24e-05, 2.86e-05, 9.05e-05, 3.17e-05,
3.20e-05, 4.28e-05, 2.66e-05),
Duraganlik = rep("Duragan", 10),
Orijinal_Seri = rep("I(1)", 10)
)write_xlsx(adf_summary, path = "adf_test_birinci_fark.xlsx")columns_to_test <- colnames(MobillBnk_PT)[-1]adf_results_second_diff <- list()for (col in columns_to_test) {
adf_results_second_diff[[paste0(col, "_second_diff")]] <- ur.df(
diff(MobillBnk_PT[[col]], differences = 2), type = "drift", lags = 1
)
}for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(MobillBnk_PT[[col]], differences = 2), type = "drift", lags = 1)}adf_summary <- data.frame(
Degisken = as.character(NULL),
tau2_Test_Istatistigi = as.numeric(NULL),
t_Istatistigi_z_lag_1 = as.numeric(NULL),
p_Degeri = as.numeric(NULL),
Duraganlik = as.character(NULL),
Orijinal_Seri = as.character(NULL)
)for (col in names(adf_results_second_diff)) {
test_summary <- summary(adf_results_second_diff[[col]])
tau2 <- test_summary@teststat[1]
t_stat <- test_summary@testreg$coef[2, 3]
p_value <- test_summary@testreg$coef[2, 4]
is_stationary <- tau2 < test_summary@cval[1, 2]
adf_summary <- rbind(adf_summary, data.frame(
Degisken = col,
tau2_Test_Istatistigi = tau2,
t_Istatistigi_z_lag_1 = t_stat,
p_degeri = p_value,
Duraganlik = ifelse(is_stationary, "Duragan", "Duragan Degil"),
Orijinal_Seri = ifelse(is_stationary, "I(2)", "I(2) degil, muhtemelen I(3)")
))
}for (col in names(adf_results_second_diff)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results_second_diff[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: EFT_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -552567 176 933 9697 191273
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -449.3642 17765.0601 -0.025 0.9800
## z.lag.1 -2.0906 0.2788 -7.499 1.27e-08 ***
## z.diff.lag 0.3865 0.1605 2.408 0.0218 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 106600 on 33 degrees of freedom
## Multiple R-squared: 0.7907, Adjusted R-squared: 0.778
## F-statistic: 62.32 on 2 and 33 DF, p-value: 6.223e-12
##
##
## Value of test-statistic is: -7.4988 28.1162
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_TP_HA_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -122302 -33 128 3194 39890
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -59.1152 3990.8895 -0.015 0.9883
## z.lag.1 -2.0542 0.2809 -7.312 2.16e-08 ***
## z.diff.lag 0.3661 0.1620 2.260 0.0306 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 23950 on 33 degrees of freedom
## Multiple R-squared: 0.7851, Adjusted R-squared: 0.7721
## F-statistic: 60.29 on 2 and 33 DF, p-value: 9.575e-12
##
##
## Value of test-statistic is: -7.3121 26.7331
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_YP_HA_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3774.8 -8.5 7.6 153.8 1405.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.5770 136.0281 -0.026 0.9792
## z.lag.1 -1.9231 0.2817 -6.826 8.67e-08 ***
## z.diff.lag 0.3189 0.1650 1.933 0.0618 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 816.2 on 33 degrees of freedom
## Multiple R-squared: 0.7566, Adjusted R-squared: 0.7419
## F-statistic: 51.3 on 2 and 33 DF, p-value: 7.468e-11
##
##
## Value of test-statistic is: -6.8261 23.2975
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_Toplam_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -126145 4 98 3475 40914
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -62.8278 4120.1308 -0.015 0.9879
## z.lag.1 -2.0486 0.2811 -7.287 2.31e-08 ***
## z.diff.lag 0.3635 0.1622 2.241 0.0318 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24720 on 33 degrees of freedom
## Multiple R-squared: 0.7841, Adjusted R-squared: 0.771
## F-statistic: 59.93 on 2 and 33 DF, p-value: 1.034e-11
##
##
## Value of test-statistic is: -7.2874 26.5531
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_TP_HA_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -283182 196 528 7553 87978
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -252.0662 9506.3315 -0.027 0.9790
## z.lag.1 -2.0903 0.2872 -7.279 2.37e-08 ***
## z.diff.lag 0.3491 0.1631 2.140 0.0399 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 57040 on 33 degrees of freedom
## Multiple R-squared: 0.8022, Adjusted R-squared: 0.7902
## F-statistic: 66.91 on 2 and 33 DF, p-value: 2.445e-12
##
##
## Value of test-statistic is: -7.2793 26.4938
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_YP_HA_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -20284.3 -24.4 22.5 366.0 7277.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -19.8659 672.6969 -0.030 0.9766
## z.lag.1 -2.0109 0.2754 -7.301 2.23e-08 ***
## z.diff.lag 0.3775 0.1612 2.342 0.0254 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4036 on 33 degrees of freedom
## Multiple R-squared: 0.7684, Adjusted R-squared: 0.7544
## F-statistic: 54.74 on 2 and 33 DF, p-value: 3.297e-11
##
##
## Value of test-statistic is: -7.3011 26.653
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_Toplam_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -303848 218 556 8442 95069
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -272.1776 10144.6095 -0.027 0.979
## z.lag.1 -2.0838 0.2864 -7.275 2.39e-08 ***
## z.diff.lag 0.3504 0.1630 2.149 0.039 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 60870 on 33 degrees of freedom
## Multiple R-squared: 0.7996, Adjusted R-squared: 0.7875
## F-statistic: 65.84 on 2 and 33 DF, p-value: 3.026e-12
##
##
## Value of test-statistic is: -7.2754 26.4656
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: HA_Toplam_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -430305 184 701 14174 135767
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -334.4766 14227.1243 -0.024 0.9814
## z.lag.1 -2.0718 0.2849 -7.273 2.41e-08 ***
## z.diff.lag 0.3537 0.1628 2.172 0.0371 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 85360 on 33 degrees of freedom
## Multiple R-squared: 0.7946, Adjusted R-squared: 0.7822
## F-statistic: 63.83 on 2 and 33 DF, p-value: 4.549e-12
##
##
## Value of test-statistic is: -7.2726 26.4452
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_TR_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2620.02 -6.54 2.36 87.40 715.32
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.2727 87.6069 -0.015 0.9885
## z.lag.1 -1.9521 0.2854 -6.839 8.35e-08 ***
## z.diff.lag 0.3114 0.1654 1.882 0.0687 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 525.6 on 33 degrees of freedom
## Multiple R-squared: 0.7691, Adjusted R-squared: 0.7551
## F-statistic: 54.96 on 2 and 33 DF, p-value: 3.136e-11
##
##
## Value of test-statistic is: -6.8391 23.3864
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam_second_diff ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -986626 -149 1564 27846 327041
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -784.1237 31824.4339 -0.025 0.9805
## z.lag.1 -2.0756 0.2812 -7.380 1.78e-08 ***
## z.diff.lag 0.3712 0.1616 2.297 0.0281 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 190900 on 33 degrees of freedom
## Multiple R-squared: 0.7903, Adjusted R-squared: 0.7776
## F-statistic: 62.2 on 2 and 33 DF, p-value: 6.379e-12
##
##
## Value of test-statistic is: -7.3802 27.2333
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------#İnternet Bankaciligi Para Transferleri (İşlem hacmi milyon TL)
#Kendi hesabına (KH) ve Üçüncü Kişilere(UKY) yapılan HAVALE
library(readxl)
ibPT <- read_excel("~/ibPT.xlsx")
View(ibPT)time_series3 <- ts(ibPT, start = c(2015, 1), frequency =4)columns_to_test <- colnames(ibPT)[-1]
for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(ibPT[[col]]), type = "drift", lags = 1)
}
for (col in names(adf_results)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: EFT ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -495691 2205 8977 12485 94643
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.730e+03 1.499e+04 -0.582 0.564
## z.lag.1 -1.176e+00 2.562e-01 -4.590 5.81e-05 ***
## z.diff.lag 4.763e-02 1.710e-01 0.279 0.782
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 90540 on 34 degrees of freedom
## Multiple R-squared: 0.5624, Adjusted R-squared: 0.5367
## F-statistic: 21.85 on 2 and 34 DF, p-value: 7.908e-07
##
##
## Value of test-statistic is: -4.5899 10.5342
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -122302 -33 128 3194 39890
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -59.1152 3990.8895 -0.015 0.9883
## z.lag.1 -2.0542 0.2809 -7.312 2.16e-08 ***
## z.diff.lag 0.3661 0.1620 2.260 0.0306 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 23950 on 33 degrees of freedom
## Multiple R-squared: 0.7851, Adjusted R-squared: 0.7721
## F-statistic: 60.29 on 2 and 33 DF, p-value: 9.575e-12
##
##
## Value of test-statistic is: -7.3121 26.7331
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3774.8 -8.5 7.6 153.8 1405.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.5770 136.0281 -0.026 0.9792
## z.lag.1 -1.9231 0.2817 -6.826 8.67e-08 ***
## z.diff.lag 0.3189 0.1650 1.933 0.0618 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 816.2 on 33 degrees of freedom
## Multiple R-squared: 0.7566, Adjusted R-squared: 0.7419
## F-statistic: 51.3 on 2 and 33 DF, p-value: 7.468e-11
##
##
## Value of test-statistic is: -6.8261 23.2975
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -126145 4 98 3475 40914
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -62.8278 4120.1308 -0.015 0.9879
## z.lag.1 -2.0486 0.2811 -7.287 2.31e-08 ***
## z.diff.lag 0.3635 0.1622 2.241 0.0318 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24720 on 33 degrees of freedom
## Multiple R-squared: 0.7841, Adjusted R-squared: 0.771
## F-statistic: 59.93 on 2 and 33 DF, p-value: 1.034e-11
##
##
## Value of test-statistic is: -7.2874 26.5531
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -212049 3439 3616 7512 50040
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.427e+03 6.651e+03 -0.515 0.610
## z.lag.1 -1.161e+00 2.570e-01 -4.519 7.16e-05 ***
## z.diff.lag 2.837e-02 1.710e-01 0.166 0.869
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 40240 on 34 degrees of freedom
## Multiple R-squared: 0.5652, Adjusted R-squared: 0.5396
## F-statistic: 22.1 on 2 and 34 DF, p-value: 7.104e-07
##
##
## Value of test-statistic is: -4.5188 10.2109
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -39706 523 552 1328 5397
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -536.6703 1179.7320 -0.455 0.652066
## z.lag.1 -1.0962 0.2503 -4.380 0.000108 ***
## z.diff.lag 0.0265 0.1710 0.155 0.877779
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7139 on 34 degrees of freedom
## Multiple R-squared: 0.5343, Adjusted R-squared: 0.5069
## F-statistic: 19.5 on 2 and 34 DF, p-value: 2.282e-06
##
##
## Value of test-statistic is: -4.3797 9.591
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -251865 3962 4113 7266 54035
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.951e+03 7.775e+03 -0.508 0.615
## z.lag.1 -1.147e+00 2.561e-01 -4.479 8.05e-05 ***
## z.diff.lag 2.346e-02 1.710e-01 0.137 0.892
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 47030 on 34 degrees of freedom
## Multiple R-squared: 0.5608, Adjusted R-squared: 0.535
## F-statistic: 21.71 on 2 and 34 DF, p-value: 8.412e-07
##
##
## Value of test-statistic is: -4.4789 10.031
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: HA_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -498515 7308 7680 16394 79503
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.257e+03 1.504e+04 -0.482 0.632564
## z.lag.1 -1.099e+00 2.558e-01 -4.298 0.000137 ***
## z.diff.lag -1.766e-02 1.710e-01 -0.103 0.918334
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 91030 on 34 degrees of freedom
## Multiple R-squared: 0.56, Adjusted R-squared: 0.5341
## F-statistic: 21.64 on 2 and 34 DF, p-value: 8.677e-07
##
##
## Value of test-statistic is: -4.2983 9.2388
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2620.02 -6.54 2.36 87.40 715.32
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.2727 87.6069 -0.015 0.9885
## z.lag.1 -1.9521 0.2854 -6.839 8.35e-08 ***
## z.diff.lag 0.3114 0.1654 1.882 0.0687 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 525.6 on 33 degrees of freedom
## Multiple R-squared: 0.7691, Adjusted R-squared: 0.7551
## F-statistic: 54.96 on 2 and 33 DF, p-value: 3.136e-11
##
##
## Value of test-statistic is: -6.8391 23.3864
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1035193 16170 16668 30283 181004
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.603e+04 3.104e+04 -0.517 0.6088
## z.lag.1 -1.125e+00 2.554e-01 -4.405 0.0001 ***
## z.diff.lag 9.510e-03 1.711e-01 0.056 0.9560
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 187700 on 34 degrees of freedom
## Multiple R-squared: 0.5576, Adjusted R-squared: 0.5315
## F-statistic: 21.42 on 2 and 34 DF, p-value: 9.541e-07
##
##
## Value of test-statistic is: -4.4045 9.7009
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -224867 3246 3430 6976 46583
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.214e+03 6.832e+03 -0.470 0.641065
## z.lag.1 -1.104e+00 2.596e-01 -4.251 0.000157 ***
## z.diff.lag -4.581e-02 1.708e-01 -0.268 0.790149
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 41360 on 34 degrees of freedom
## Multiple R-squared: 0.5798, Adjusted R-squared: 0.5551
## F-statistic: 23.45 on 2 and 34 DF, p-value: 3.974e-07
##
##
## Value of test-statistic is: -4.2514 9.0393
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18680.2 -822.4 205.0 229.1 22015.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -202.5747 925.2871 -0.219 0.82801
## z.lag.1 -0.8240 0.2349 -3.508 0.00129 **
## z.diff.lag -0.1424 0.1695 -0.841 0.40644
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5621 on 34 degrees of freedom
## Multiple R-squared: 0.4911, Adjusted R-squared: 0.4611
## F-statistic: 16.4 on 2 and 34 DF, p-value: 1.031e-05
##
##
## Value of test-statistic is: -3.5082 6.1546
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -245183 3356 3498 7075 52213
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.365e+03 7.435e+03 -0.453 0.653699
## z.lag.1 -1.065e+00 2.564e-01 -4.154 0.000208 ***
## z.diff.lag -5.713e-02 1.707e-01 -0.335 0.739878
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 45030 on 34 degrees of freedom
## Multiple R-squared: 0.5668, Adjusted R-squared: 0.5413
## F-statistic: 22.24 on 2 and 34 DF, p-value: 6.661e-07
##
##
## Value of test-statistic is: -4.1544 8.6315
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: DOv_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -38696 173 256 1010 7805
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -224.31125 1172.67546 -0.191 0.849443
## z.lag.1 -0.98762 0.24327 -4.060 0.000273 ***
## z.diff.lag -0.01981 0.17139 -0.116 0.908666
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7127 on 34 degrees of freedom
## Multiple R-squared: 0.5042, Adjusted R-squared: 0.475
## F-statistic: 17.29 on 2 and 34 DF, p-value: 6.618e-06
##
##
## Value of test-statistic is: -4.0597 8.241
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------#YATIRIMLAR ADF TESTİ İslem Hacmi (Milyon TL)
#Mobil Bankacilik Yatirimlar
MB_Yatirimlar <- read_excel("C:/MB_Yatirimlar.xlsx")
View(MB_Yatirimlar)time_series4 <- ts(MB_Yatirimlar, start = c(2015, 1), frequency =4)columns_to_test <- colnames(MB_Yatirimlar)[-1]
for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(MB_Yatirimlar[[col]]), type = "drift", lags = 1)
}
for (col in names(adf_results)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: EFT ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -495691 2205 8977 12485 94643
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.730e+03 1.499e+04 -0.582 0.564
## z.lag.1 -1.176e+00 2.562e-01 -4.590 5.81e-05 ***
## z.diff.lag 4.763e-02 1.710e-01 0.279 0.782
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 90540 on 34 degrees of freedom
## Multiple R-squared: 0.5624, Adjusted R-squared: 0.5367
## F-statistic: 21.85 on 2 and 34 DF, p-value: 7.908e-07
##
##
## Value of test-statistic is: -4.5899 10.5342
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -122302 -33 128 3194 39890
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -59.1152 3990.8895 -0.015 0.9883
## z.lag.1 -2.0542 0.2809 -7.312 2.16e-08 ***
## z.diff.lag 0.3661 0.1620 2.260 0.0306 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 23950 on 33 degrees of freedom
## Multiple R-squared: 0.7851, Adjusted R-squared: 0.7721
## F-statistic: 60.29 on 2 and 33 DF, p-value: 9.575e-12
##
##
## Value of test-statistic is: -7.3121 26.7331
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3774.8 -8.5 7.6 153.8 1405.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.5770 136.0281 -0.026 0.9792
## z.lag.1 -1.9231 0.2817 -6.826 8.67e-08 ***
## z.diff.lag 0.3189 0.1650 1.933 0.0618 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 816.2 on 33 degrees of freedom
## Multiple R-squared: 0.7566, Adjusted R-squared: 0.7419
## F-statistic: 51.3 on 2 and 33 DF, p-value: 7.468e-11
##
##
## Value of test-statistic is: -6.8261 23.2975
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -126145 4 98 3475 40914
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -62.8278 4120.1308 -0.015 0.9879
## z.lag.1 -2.0486 0.2811 -7.287 2.31e-08 ***
## z.diff.lag 0.3635 0.1622 2.241 0.0318 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24720 on 33 degrees of freedom
## Multiple R-squared: 0.7841, Adjusted R-squared: 0.771
## F-statistic: 59.93 on 2 and 33 DF, p-value: 1.034e-11
##
##
## Value of test-statistic is: -7.2874 26.5531
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -212049 3439 3616 7512 50040
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.427e+03 6.651e+03 -0.515 0.610
## z.lag.1 -1.161e+00 2.570e-01 -4.519 7.16e-05 ***
## z.diff.lag 2.837e-02 1.710e-01 0.166 0.869
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 40240 on 34 degrees of freedom
## Multiple R-squared: 0.5652, Adjusted R-squared: 0.5396
## F-statistic: 22.1 on 2 and 34 DF, p-value: 7.104e-07
##
##
## Value of test-statistic is: -4.5188 10.2109
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -39706 523 552 1328 5397
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -536.6703 1179.7320 -0.455 0.652066
## z.lag.1 -1.0962 0.2503 -4.380 0.000108 ***
## z.diff.lag 0.0265 0.1710 0.155 0.877779
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7139 on 34 degrees of freedom
## Multiple R-squared: 0.5343, Adjusted R-squared: 0.5069
## F-statistic: 19.5 on 2 and 34 DF, p-value: 2.282e-06
##
##
## Value of test-statistic is: -4.3797 9.591
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -251865 3962 4113 7266 54035
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.951e+03 7.775e+03 -0.508 0.615
## z.lag.1 -1.147e+00 2.561e-01 -4.479 8.05e-05 ***
## z.diff.lag 2.346e-02 1.710e-01 0.137 0.892
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 47030 on 34 degrees of freedom
## Multiple R-squared: 0.5608, Adjusted R-squared: 0.535
## F-statistic: 21.71 on 2 and 34 DF, p-value: 8.412e-07
##
##
## Value of test-statistic is: -4.4789 10.031
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: HA_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -498515 7308 7680 16394 79503
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.257e+03 1.504e+04 -0.482 0.632564
## z.lag.1 -1.099e+00 2.558e-01 -4.298 0.000137 ***
## z.diff.lag -1.766e-02 1.710e-01 -0.103 0.918334
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 91030 on 34 degrees of freedom
## Multiple R-squared: 0.56, Adjusted R-squared: 0.5341
## F-statistic: 21.64 on 2 and 34 DF, p-value: 8.677e-07
##
##
## Value of test-statistic is: -4.2983 9.2388
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2620.02 -6.54 2.36 87.40 715.32
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.2727 87.6069 -0.015 0.9885
## z.lag.1 -1.9521 0.2854 -6.839 8.35e-08 ***
## z.diff.lag 0.3114 0.1654 1.882 0.0687 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 525.6 on 33 degrees of freedom
## Multiple R-squared: 0.7691, Adjusted R-squared: 0.7551
## F-statistic: 54.96 on 2 and 33 DF, p-value: 3.136e-11
##
##
## Value of test-statistic is: -6.8391 23.3864
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -438875 1028 3986 26325 128063
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1285.2269 16440.4013 -0.078 0.938
## z.lag.1 -1.2514 0.2552 -4.903 2.29e-05 ***
## z.diff.lag 0.1146 0.1703 0.673 0.505
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1e+05 on 34 degrees of freedom
## Multiple R-squared: 0.5672, Adjusted R-squared: 0.5417
## F-statistic: 22.28 on 2 and 34 DF, p-value: 6.566e-07
##
##
## Value of test-statistic is: -4.9034 12.0217
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -224867 3246 3430 6976 46583
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.214e+03 6.832e+03 -0.470 0.641065
## z.lag.1 -1.104e+00 2.596e-01 -4.251 0.000157 ***
## z.diff.lag -4.581e-02 1.708e-01 -0.268 0.790149
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 41360 on 34 degrees of freedom
## Multiple R-squared: 0.5798, Adjusted R-squared: 0.5551
## F-statistic: 23.45 on 2 and 34 DF, p-value: 3.974e-07
##
##
## Value of test-statistic is: -4.2514 9.0393
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18680.2 -822.4 205.0 229.1 22015.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -202.5747 925.2871 -0.219 0.82801
## z.lag.1 -0.8240 0.2349 -3.508 0.00129 **
## z.diff.lag -0.1424 0.1695 -0.841 0.40644
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5621 on 34 degrees of freedom
## Multiple R-squared: 0.4911, Adjusted R-squared: 0.4611
## F-statistic: 16.4 on 2 and 34 DF, p-value: 1.031e-05
##
##
## Value of test-statistic is: -3.5082 6.1546
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -245183 3356 3498 7075 52213
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.365e+03 7.435e+03 -0.453 0.653699
## z.lag.1 -1.065e+00 2.564e-01 -4.154 0.000208 ***
## z.diff.lag -5.713e-02 1.707e-01 -0.335 0.739878
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 45030 on 34 degrees of freedom
## Multiple R-squared: 0.5668, Adjusted R-squared: 0.5413
## F-statistic: 22.24 on 2 and 34 DF, p-value: 6.661e-07
##
##
## Value of test-statistic is: -4.1544 8.6315
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: DOv_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -38696 173 256 1010 7805
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -224.31125 1172.67546 -0.191 0.849443
## z.lag.1 -0.98762 0.24327 -4.060 0.000273 ***
## z.diff.lag -0.01981 0.17139 -0.116 0.908666
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7127 on 34 degrees of freedom
## Multiple R-squared: 0.5042, Adjusted R-squared: 0.475
## F-statistic: 17.29 on 2 and 34 DF, p-value: 6.618e-06
##
##
## Value of test-statistic is: -4.0597 8.241
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_AL ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -29307.1 45.4 547.2 1372.3 9840.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -43.6494 963.9194 -0.045 0.964
## z.lag.1 -1.3139 0.2586 -5.080 1.35e-05 ***
## z.diff.lag 0.1346 0.1699 0.792 0.434
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5863 on 34 degrees of freedom
## Multiple R-squared: 0.5867, Adjusted R-squared: 0.5624
## F-statistic: 24.13 on 2 and 34 DF, p-value: 2.999e-07
##
##
## Value of test-statistic is: -5.0802 12.9044
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -29109.7 51.2 502.9 1377.7 8514.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -53.0043 989.1422 -0.054 0.958
## z.lag.1 -1.2969 0.2542 -5.102 1.27e-05 ***
## z.diff.lag 0.1528 0.1695 0.902 0.374
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6016 on 34 degrees of freedom
## Multiple R-squared: 0.5728, Adjusted R-squared: 0.5476
## F-statistic: 22.79 on 2 and 34 DF, p-value: 5.267e-07
##
##
## Value of test-statistic is: -5.1017 13.0139
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -58438 97 1040 2687 18369
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -96.8559 1948.7763 -0.050 0.961
## z.lag.1 -1.3058 0.2564 -5.092 1.31e-05 ***
## z.diff.lag 0.1438 0.1697 0.847 0.403
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 11850 on 34 degrees of freedom
## Multiple R-squared: 0.5797, Adjusted R-squared: 0.555
## F-statistic: 23.45 on 2 and 34 DF, p-value: 3.984e-07
##
##
## Value of test-statistic is: -5.0918 12.9631
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -30589 -4790 213 1136 42661
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -230.4800 1902.6777 -0.121 0.9043
## z.lag.1 -1.4786 0.2461 -6.008 8.41e-07 ***
## z.diff.lag 0.3024 0.1633 1.852 0.0728 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 11570 on 34 degrees of freedom
## Multiple R-squared: 0.6074, Adjusted R-squared: 0.5843
## F-statistic: 26.3 on 2 and 34 DF, p-value: 1.251e-07
##
##
## Value of test-statistic is: -6.0079 18.0479
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -46055 -1833 346 1893 35738
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -335.1626 2253.7448 -0.149 0.8827
## z.lag.1 -1.3376 0.2356 -5.678 2.26e-06 ***
## z.diff.lag 0.2917 0.1638 1.781 0.0838 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 13710 on 34 degrees of freedom
## Multiple R-squared: 0.5597, Adjusted R-squared: 0.5338
## F-statistic: 21.61 on 2 and 34 DF, p-value: 8.79e-07
##
##
## Value of test-statistic is: -5.6776 16.1191
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Arbitraj ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2290.92 -10.26 10.61 181.05 866.40
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.03777 76.02870 -0.093 0.926791
## z.lag.1 -0.94612 0.22670 -4.173 0.000196 ***
## z.diff.lag 0.07498 0.17081 0.439 0.663462
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 462.4 on 34 degrees of freedom
## Multiple R-squared: 0.4433, Adjusted R-squared: 0.4105
## F-statistic: 13.54 on 2 and 34 DF, p-value: 4.741e-05
##
##
## Value of test-statistic is: -4.1734 8.709
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -71527 -5327 571 3071 79008
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -564.6034 4078.0596 -0.138 0.8907
## z.lag.1 -1.3645 0.2392 -5.705 2.08e-06 ***
## z.diff.lag 0.2852 0.1642 1.737 0.0914 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24800 on 34 degrees of freedom
## Multiple R-squared: 0.5696, Adjusted R-squared: 0.5443
## F-statistic: 22.5 on 2 and 34 DF, p-value: 5.975e-07
##
##
## Value of test-statistic is: -5.7053 16.276
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_AC ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -75439 184 413 3226 15383
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -181.26496 2305.28568 -0.079 0.937788
## z.lag.1 -1.07775 0.24910 -4.327 0.000126 ***
## z.diff.lag 0.02042 0.17141 0.119 0.905882
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 14020 on 34 degrees of freedom
## Multiple R-squared: 0.5284, Adjusted R-squared: 0.5007
## F-statistic: 19.05 on 2 and 34 DF, p-value: 2.822e-06
##
##
## Value of test-statistic is: -4.3266 9.3598
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Kap ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -64972 110 272 2475 17164
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -110.4015 2014.9408 -0.055 0.957
## z.lag.1 -1.1521 0.2515 -4.580 5.98e-05 ***
## z.diff.lag 0.0658 0.1711 0.385 0.703
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 12260 on 34 degrees of freedom
## Multiple R-squared: 0.5425, Adjusted R-squared: 0.5156
## F-statistic: 20.16 on 2 and 34 DF, p-value: 1.684e-06
##
##
## Value of test-statistic is: -4.5799 10.4877
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Top ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -140508 299 688 6825 32540
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -293.15477 4313.55555 -0.068 0.946
## z.lag.1 -1.11185 0.25034 -4.441 8.99e-05 ***
## z.diff.lag 0.04114 0.17131 0.240 0.812
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 26240 on 34 degrees of freedom
## Multiple R-squared: 0.5348, Adjusted R-squared: 0.5075
## F-statistic: 19.55 on 2 and 34 DF, p-value: 2.235e-06
##
##
## Value of test-statistic is: -4.4413 9.8629
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Repo ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -964.65 6.06 8.48 66.12 250.28
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.39119 31.97690 -0.231 0.819
## z.lag.1 -1.26093 0.26125 -4.827 2.88e-05 ***
## z.diff.lag 0.07495 0.17064 0.439 0.663
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 194.4 on 34 degrees of freedom
## Multiple R-squared: 0.5896, Adjusted R-squared: 0.5655
## F-statistic: 24.43 on 2 and 34 DF, p-value: 2.655e-07
##
##
## Value of test-statistic is: -4.8266 11.6499
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Ger_Hiss_Sen ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -147409 -273 450 10633 104020
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -200.0930 6972.0439 -0.029 0.977
## z.lag.1 -1.3284 0.2538 -5.235 8.51e-06 ***
## z.diff.lag 0.1759 0.1688 1.042 0.305
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 42410 on 34 degrees of freedom
## Multiple R-squared: 0.5783, Adjusted R-squared: 0.5535
## F-statistic: 23.32 on 2 and 34 DF, p-value: 4.213e-07
##
##
## Value of test-statistic is: -5.235 13.7025
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1159.71 -20.47 2.81 31.95 2350.30
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.07337 85.30903 -0.001 0.999
## z.lag.1 -1.33271 0.27041 -4.928 2.13e-05 ***
## z.diff.lag 0.06721 0.17111 0.393 0.697
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 518.9 on 34 degrees of freedom
## Multiple R-squared: 0.6261, Adjusted R-squared: 0.6041
## F-statistic: 28.47 on 2 and 34 DF, p-value: 5.458e-08
##
##
## Value of test-statistic is: -4.9284 12.1446
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1051.53 -7.86 2.47 13.77 2255.03
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.0849 81.7503 0.013 0.989
## z.lag.1 -1.3564 0.2614 -5.189 9.77e-06 ***
## z.diff.lag 0.1436 0.1697 0.846 0.403
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 497.3 on 34 degrees of freedom
## Multiple R-squared: 0.6015, Adjusted R-squared: 0.578
## F-statistic: 25.66 on 2 and 34 DF, p-value: 1.615e-07
##
##
## Value of test-statistic is: -5.189 13.4629
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2201.8 -28.2 9.8 44.6 4602.5
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.0135 166.5527 0.006 0.995
## z.lag.1 -1.3450 0.2662 -5.053 1.47e-05 ***
## z.diff.lag 0.1043 0.1706 0.611 0.545
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1013 on 34 degrees of freedom
## Multiple R-squared: 0.6133, Adjusted R-squared: 0.5905
## F-statistic: 26.96 on 2 and 34 DF, p-value: 9.688e-08
##
##
## Value of test-statistic is: -5.0525 12.764
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -11271.0 -553.4 8.4 617.8 7745.4
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -6.9575 485.7926 -0.014 0.989
## z.lag.1 -1.3637 0.2476 -5.507 3.77e-06 ***
## z.diff.lag 0.2355 0.1667 1.413 0.167
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2955 on 34 degrees of freedom
## Multiple R-squared: 0.5768, Adjusted R-squared: 0.5519
## F-statistic: 23.17 on 2 and 34 DF, p-value: 4.489e-07
##
##
## Value of test-statistic is: -5.5067 15.1621
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -9729.6 -156.4 9.9 986.1 5563.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -9.8160 433.1040 -0.023 0.982
## z.lag.1 -1.3866 0.2554 -5.430 4.75e-06 ***
## z.diff.lag 0.2003 0.1680 1.192 0.241
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2634 on 34 degrees of freedom
## Multiple R-squared: 0.5946, Adjusted R-squared: 0.5708
## F-statistic: 24.93 on 2 and 34 DF, p-value: 2.158e-07
##
##
## Value of test-statistic is: -5.4297 14.741
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -21166.6 -206.0 23.4 1553.3 12276.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -16.7951 892.3642 -0.019 0.985
## z.lag.1 -1.3424 0.2472 -5.431 4.73e-06 ***
## z.diff.lag 0.2263 0.1670 1.355 0.184
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5428 on 34 degrees of freedom
## Multiple R-squared: 0.5705, Adjusted R-squared: 0.5453
## F-statistic: 22.58 on 2 and 34 DF, p-value: 5.749e-07
##
##
## Value of test-statistic is: -5.4312 14.7489
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: VOB_İsl ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -25545.7 -28.6 126.2 1469.3 7183.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -104.3189 822.4467 -0.127 0.900
## z.lag.1 -1.1574 0.2309 -5.013 1.65e-05 ***
## z.diff.lag 0.2143 0.1670 1.283 0.208
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5002 on 34 degrees of freedom
## Multiple R-squared: 0.5008, Adjusted R-squared: 0.4715
## F-statistic: 17.06 on 2 and 34 DF, p-value: 7.414e-06
##
##
## Value of test-statistic is: -5.0131 12.5663
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------#İnternet Bankaciligi Yatirimlar
ib_yatirimlar <- read_excel("~/ib_yatirimlar.xlsx")
View(ib_yatirimlar)time_series5 <- ts(ib_yatirimlar, start = c(2015, 1), frequency =4)columns_to_test <- colnames(ib_yatirimlar)[-1]
for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(ib_yatirimlar[[col]]), type = "drift", lags = 1)
}
for (col in names(adf_results)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: EFT ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -495691 2205 8977 12485 94643
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.730e+03 1.499e+04 -0.582 0.564
## z.lag.1 -1.176e+00 2.562e-01 -4.590 5.81e-05 ***
## z.diff.lag 4.763e-02 1.710e-01 0.279 0.782
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 90540 on 34 degrees of freedom
## Multiple R-squared: 0.5624, Adjusted R-squared: 0.5367
## F-statistic: 21.85 on 2 and 34 DF, p-value: 7.908e-07
##
##
## Value of test-statistic is: -4.5899 10.5342
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -122302 -33 128 3194 39890
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -59.1152 3990.8895 -0.015 0.9883
## z.lag.1 -2.0542 0.2809 -7.312 2.16e-08 ***
## z.diff.lag 0.3661 0.1620 2.260 0.0306 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 23950 on 33 degrees of freedom
## Multiple R-squared: 0.7851, Adjusted R-squared: 0.7721
## F-statistic: 60.29 on 2 and 33 DF, p-value: 9.575e-12
##
##
## Value of test-statistic is: -7.3121 26.7331
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3774.8 -8.5 7.6 153.8 1405.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.5770 136.0281 -0.026 0.9792
## z.lag.1 -1.9231 0.2817 -6.826 8.67e-08 ***
## z.diff.lag 0.3189 0.1650 1.933 0.0618 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 816.2 on 33 degrees of freedom
## Multiple R-squared: 0.7566, Adjusted R-squared: 0.7419
## F-statistic: 51.3 on 2 and 33 DF, p-value: 7.468e-11
##
##
## Value of test-statistic is: -6.8261 23.2975
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -126145 4 98 3475 40914
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -62.8278 4120.1308 -0.015 0.9879
## z.lag.1 -2.0486 0.2811 -7.287 2.31e-08 ***
## z.diff.lag 0.3635 0.1622 2.241 0.0318 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24720 on 33 degrees of freedom
## Multiple R-squared: 0.7841, Adjusted R-squared: 0.771
## F-statistic: 59.93 on 2 and 33 DF, p-value: 1.034e-11
##
##
## Value of test-statistic is: -7.2874 26.5531
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -212049 3439 3616 7512 50040
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.427e+03 6.651e+03 -0.515 0.610
## z.lag.1 -1.161e+00 2.570e-01 -4.519 7.16e-05 ***
## z.diff.lag 2.837e-02 1.710e-01 0.166 0.869
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 40240 on 34 degrees of freedom
## Multiple R-squared: 0.5652, Adjusted R-squared: 0.5396
## F-statistic: 22.1 on 2 and 34 DF, p-value: 7.104e-07
##
##
## Value of test-statistic is: -4.5188 10.2109
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -39706 523 552 1328 5397
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -536.6703 1179.7320 -0.455 0.652066
## z.lag.1 -1.0962 0.2503 -4.380 0.000108 ***
## z.diff.lag 0.0265 0.1710 0.155 0.877779
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7139 on 34 degrees of freedom
## Multiple R-squared: 0.5343, Adjusted R-squared: 0.5069
## F-statistic: 19.5 on 2 and 34 DF, p-value: 2.282e-06
##
##
## Value of test-statistic is: -4.3797 9.591
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -251865 3962 4113 7266 54035
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.951e+03 7.775e+03 -0.508 0.615
## z.lag.1 -1.147e+00 2.561e-01 -4.479 8.05e-05 ***
## z.diff.lag 2.346e-02 1.710e-01 0.137 0.892
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 47030 on 34 degrees of freedom
## Multiple R-squared: 0.5608, Adjusted R-squared: 0.535
## F-statistic: 21.71 on 2 and 34 DF, p-value: 8.412e-07
##
##
## Value of test-statistic is: -4.4789 10.031
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: HA_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -498515 7308 7680 16394 79503
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.257e+03 1.504e+04 -0.482 0.632564
## z.lag.1 -1.099e+00 2.558e-01 -4.298 0.000137 ***
## z.diff.lag -1.766e-02 1.710e-01 -0.103 0.918334
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 91030 on 34 degrees of freedom
## Multiple R-squared: 0.56, Adjusted R-squared: 0.5341
## F-statistic: 21.64 on 2 and 34 DF, p-value: 8.677e-07
##
##
## Value of test-statistic is: -4.2983 9.2388
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2620.02 -6.54 2.36 87.40 715.32
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.2727 87.6069 -0.015 0.9885
## z.lag.1 -1.9521 0.2854 -6.839 8.35e-08 ***
## z.diff.lag 0.3114 0.1654 1.882 0.0687 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 525.6 on 33 degrees of freedom
## Multiple R-squared: 0.7691, Adjusted R-squared: 0.7551
## F-statistic: 54.96 on 2 and 33 DF, p-value: 3.136e-11
##
##
## Value of test-statistic is: -6.8391 23.3864
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -271125 4427 4937 6316 59860
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -4.835e+03 8.667e+03 -0.558 0.581
## z.lag.1 -1.239e+00 2.626e-01 -4.716 3.99e-05 ***
## z.diff.lag 5.356e-02 1.712e-01 0.313 0.756
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 52320 on 34 degrees of freedom
## Multiple R-squared: 0.589, Adjusted R-squared: 0.5649
## F-statistic: 24.37 on 2 and 34 DF, p-value: 2.721e-07
##
##
## Value of test-statistic is: -4.7164 11.1222
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -224867 3246 3430 6976 46583
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.214e+03 6.832e+03 -0.470 0.641065
## z.lag.1 -1.104e+00 2.596e-01 -4.251 0.000157 ***
## z.diff.lag -4.581e-02 1.708e-01 -0.268 0.790149
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 41360 on 34 degrees of freedom
## Multiple R-squared: 0.5798, Adjusted R-squared: 0.5551
## F-statistic: 23.45 on 2 and 34 DF, p-value: 3.974e-07
##
##
## Value of test-statistic is: -4.2514 9.0393
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18680.2 -822.4 205.0 229.1 22015.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -202.5747 925.2871 -0.219 0.82801
## z.lag.1 -0.8240 0.2349 -3.508 0.00129 **
## z.diff.lag -0.1424 0.1695 -0.841 0.40644
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5621 on 34 degrees of freedom
## Multiple R-squared: 0.4911, Adjusted R-squared: 0.4611
## F-statistic: 16.4 on 2 and 34 DF, p-value: 1.031e-05
##
##
## Value of test-statistic is: -3.5082 6.1546
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -245183 3356 3498 7075 52213
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.365e+03 7.435e+03 -0.453 0.653699
## z.lag.1 -1.065e+00 2.564e-01 -4.154 0.000208 ***
## z.diff.lag -5.713e-02 1.707e-01 -0.335 0.739878
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 45030 on 34 degrees of freedom
## Multiple R-squared: 0.5668, Adjusted R-squared: 0.5413
## F-statistic: 22.24 on 2 and 34 DF, p-value: 6.661e-07
##
##
## Value of test-statistic is: -4.1544 8.6315
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: DOv_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -38696 173 256 1010 7805
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -224.31125 1172.67546 -0.191 0.849443
## z.lag.1 -0.98762 0.24327 -4.060 0.000273 ***
## z.diff.lag -0.01981 0.17139 -0.116 0.908666
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7127 on 34 degrees of freedom
## Multiple R-squared: 0.5042, Adjusted R-squared: 0.475
## F-statistic: 17.29 on 2 and 34 DF, p-value: 6.618e-06
##
##
## Value of test-statistic is: -4.0597 8.241
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_AL ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -28759.1 415.6 491.0 1420.1 6559.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -416.3385 878.0485 -0.474 0.638
## z.lag.1 -1.2824 0.2601 -4.930 2.12e-05 ***
## z.diff.lag 0.1036 0.1706 0.607 0.548
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5314 on 34 degrees of freedom
## Multiple R-squared: 0.5854, Adjusted R-squared: 0.5611
## F-statistic: 24.01 on 2 and 34 DF, p-value: 3.154e-07
##
##
## Value of test-statistic is: -4.9301 12.1533
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -28140.6 440.8 492.9 1335.2 5496.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -444.88303 856.87174 -0.519 0.607
## z.lag.1 -1.23771 0.25752 -4.806 3.06e-05 ***
## z.diff.lag 0.08974 0.17086 0.525 0.603
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5180 on 34 degrees of freedom
## Multiple R-squared: 0.5713, Adjusted R-squared: 0.5461
## F-statistic: 22.66 on 2 and 34 DF, p-value: 5.576e-07
##
##
## Value of test-statistic is: -4.8062 11.5501
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -56934 855 1004 2755 12051
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -860.60162 1732.37127 -0.497 0.623
## z.lag.1 -1.25806 0.25885 -4.860 2.61e-05 ***
## z.diff.lag 0.09515 0.17076 0.557 0.581
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 10480 on 34 degrees of freedom
## Multiple R-squared: 0.5782, Adjusted R-squared: 0.5534
## F-statistic: 23.3 on 2 and 34 DF, p-value: 4.237e-07
##
##
## Value of test-statistic is: -4.8601 11.8106
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19143.8 -1018.5 524.6 548.0 14022.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -526.57069 817.74870 -0.644 0.524
## z.lag.1 -1.24168 0.25635 -4.844 2.74e-05 ***
## z.diff.lag 0.09486 0.16958 0.559 0.580
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4933 on 34 degrees of freedom
## Multiple R-squared: 0.5709, Adjusted R-squared: 0.5457
## F-statistic: 22.62 on 2 and 34 DF, p-value: 5.667e-07
##
##
## Value of test-statistic is: -4.8438 11.7313
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -34642 -182 714 729 10575
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -712.58506 1166.69262 -0.611 0.545411
## z.lag.1 -1.03661 0.24590 -4.216 0.000174 ***
## z.diff.lag -0.01473 0.16995 -0.087 0.931458
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7049 on 34 degrees of freedom
## Multiple R-squared: 0.5291, Adjusted R-squared: 0.5014
## F-statistic: 19.1 on 2 and 34 DF, p-value: 2.757e-06
##
##
## Value of test-statistic is: -4.2156 8.893
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Arbitraj ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -12315.7 59.1 123.5 257.5 3879.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -122.0210 401.9623 -0.304 0.763311
## z.lag.1 -1.0619 0.2647 -4.011 0.000313 ***
## z.diff.lag -0.1250 0.1698 -0.736 0.466886
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2439 on 34 degrees of freedom
## Multiple R-squared: 0.6129, Adjusted R-squared: 0.5902
## F-statistic: 26.92 on 2 and 34 DF, p-value: 9.823e-08
##
##
## Value of test-statistic is: -4.0114 8.0464
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -65826 -503 1308 1436 25655
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.307e+03 2.273e+03 -0.575 0.569186
## z.lag.1 -1.064e+00 2.521e-01 -4.220 0.000172 ***
## z.diff.lag -2.825e-02 1.704e-01 -0.166 0.869352
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 13730 on 34 degrees of freedom
## Multiple R-squared: 0.5484, Adjusted R-squared: 0.5218
## F-statistic: 20.64 on 2 and 34 DF, p-value: 1.351e-06
##
##
## Value of test-statistic is: -4.2201 8.9076
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_AC ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -27006.2 598.2 832.6 1026.2 5989.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.289e+02 8.590e+02 -0.965 0.341
## z.lag.1 -1.132e+00 2.561e-01 -4.421 9.56e-05 ***
## z.diff.lag 8.173e-03 1.708e-01 0.048 0.962
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5109 on 34 degrees of freedom
## Multiple R-squared: 0.5616, Adjusted R-squared: 0.5358
## F-statistic: 21.78 on 2 and 34 DF, p-value: 8.169e-07
##
##
## Value of test-statistic is: -4.4205 9.7712
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Kap ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17248.7 44.4 411.4 423.4 5639.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -410.12295 593.77868 -0.691 0.494
## z.lag.1 -1.10954 0.25185 -4.406 9.99e-05 ***
## z.diff.lag 0.01117 0.16957 0.066 0.948
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3577 on 34 degrees of freedom
## Multiple R-squared: 0.549, Adjusted R-squared: 0.5224
## F-statistic: 20.69 on 2 and 34 DF, p-value: 1.324e-06
##
##
## Value of test-statistic is: -4.4056 9.7079
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Top ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -44253 677 1238 1268 9921
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.236e+03 1.439e+03 -0.859 0.396
## z.lag.1 -1.122e+00 2.545e-01 -4.408 9.91e-05 ***
## z.diff.lag 7.517e-03 1.703e-01 0.044 0.965
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 8606 on 34 degrees of freedom
## Multiple R-squared: 0.5569, Adjusted R-squared: 0.5309
## F-statistic: 21.37 on 2 and 34 DF, p-value: 9.768e-07
##
##
## Value of test-statistic is: -4.4082 9.7177
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Repo ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4100.5 -74.0 183.2 185.4 1329.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -184.13780 147.77071 -1.246 0.221
## z.lag.1 -1.31318 0.27090 -4.847 2.71e-05 ***
## z.diff.lag 0.04292 0.17080 0.251 0.803
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 861.7 on 34 degrees of freedom
## Multiple R-squared: 0.631, Adjusted R-squared: 0.6093
## F-statistic: 29.07 on 2 and 34 DF, p-value: 4.355e-08
##
##
## Value of test-statistic is: -4.8475 11.7586
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Ger_Hiss_Sen ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -67099 786 1074 7129 32603
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1064.9494 2679.1564 -0.397 0.6935
## z.lag.1 -1.7071 0.2639 -6.469 2.13e-07 ***
## z.diff.lag 0.2956 0.1625 1.819 0.0777 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 16240 on 34 degrees of freedom
## Multiple R-squared: 0.6922, Adjusted R-squared: 0.6741
## F-statistic: 38.24 on 2 and 34 DF, p-value: 1.994e-09
##
##
## Value of test-statistic is: -6.469 20.9328
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2122.36 17.07 20.83 35.73 2953.45
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -19.7734 149.4244 -0.132 0.896
## z.lag.1 -1.3551 0.2497 -5.427 4.78e-06 ***
## z.diff.lag 0.2175 0.1673 1.300 0.202
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 908.7 on 34 degrees of freedom
## Multiple R-squared: 0.5775, Adjusted R-squared: 0.5527
## F-statistic: 23.24 on 2 and 34 DF, p-value: 4.354e-07
##
##
## Value of test-statistic is: -5.4275 14.7288
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2151.21 -2.00 8.02 10.64 2747.54
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.4063 135.4015 -0.062 0.9509
## z.lag.1 -1.4215 0.2372 -5.992 8.82e-07 ***
## z.diff.lag 0.3269 0.1621 2.017 0.0516 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 823.6 on 34 degrees of freedom
## Multiple R-squared: 0.5853, Adjusted R-squared: 0.5609
## F-statistic: 23.99 on 2 and 34 DF, p-value: 3.177e-07
##
##
## Value of test-statistic is: -5.992 17.9519
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4283.2 -22.2 28.9 49.4 5702.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -28.3014 284.4765 -0.099 0.921
## z.lag.1 -1.3873 0.2438 -5.691 2.17e-06 ***
## z.diff.lag 0.2716 0.1650 1.646 0.109
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1730 on 34 degrees of freedom
## Multiple R-squared: 0.579, Adjusted R-squared: 0.5543
## F-statistic: 23.38 on 2 and 34 DF, p-value: 4.095e-07
##
##
## Value of test-statistic is: -5.6909 16.1929
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2130.85 25.19 28.18 35.71 2262.28
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -28.3813 110.6983 -0.256 0.799
## z.lag.1 -1.4018 0.2483 -5.645 2.49e-06 ***
## z.diff.lag 0.2507 0.1656 1.514 0.139
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 672.7 on 34 degrees of freedom
## Multiple R-squared: 0.5885, Adjusted R-squared: 0.5643
## F-statistic: 24.31 on 2 and 34 DF, p-value: 2.782e-07
##
##
## Value of test-statistic is: -5.6449 15.9327
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1784.13 -31.88 44.59 51.59 1291.92
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -44.8666 103.6188 -0.433 0.6678
## z.lag.1 -1.5731 0.2515 -6.254 4.04e-07 ***
## z.diff.lag 0.2918 0.1569 1.859 0.0716 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 628.4 on 34 degrees of freedom
## Multiple R-squared: 0.6449, Adjusted R-squared: 0.624
## F-statistic: 30.87 on 2 and 34 DF, p-value: 2.273e-08
##
##
## Value of test-statistic is: -6.2542 19.5578
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3929.0 -202.6 72.2 86.4 3412.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -73.5733 196.7377 -0.374 0.7108
## z.lag.1 -1.4340 0.2349 -6.105 6.29e-07 ***
## z.diff.lag 0.3349 0.1581 2.118 0.0416 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1194 on 34 degrees of freedom
## Multiple R-squared: 0.5911, Adjusted R-squared: 0.567
## F-statistic: 24.58 on 2 and 34 DF, p-value: 2.497e-07
##
##
## Value of test-statistic is: -6.1053 18.6378
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: VOB_İsl ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -16952.6 173.6 234.9 717.0 17733.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2.230e+02 1.065e+03 -0.209 0.835
## z.lag.1 -1.350e+00 2.806e-01 -4.812 3.01e-05 ***
## z.diff.lag 7.341e-03 1.714e-01 0.043 0.966
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6471 on 34 degrees of freedom
## Multiple R-squared: 0.6702, Adjusted R-squared: 0.6508
## F-statistic: 34.55 on 2 and 34 DF, p-value: 6.455e-09
##
##
## Value of test-statistic is: -4.8119 11.5781
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------#Mobil Bankacilik Odemeler
MB_Odemeler <- read_excel("~/MB_Odemeler.xlsx")
View(MB_Odemeler)time_series6 <- ts(MB_Odemeler, start = c(2015, 1), frequency =4)columns_to_test <- colnames(MB_Odemeler)[-1]
for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(MB_Odemeler[[col]]), type = "drift", lags = 1)
}
for (col in names(adf_results)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: EFT ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -495691 2205 8977 12485 94643
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.730e+03 1.499e+04 -0.582 0.564
## z.lag.1 -1.176e+00 2.562e-01 -4.590 5.81e-05 ***
## z.diff.lag 4.763e-02 1.710e-01 0.279 0.782
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 90540 on 34 degrees of freedom
## Multiple R-squared: 0.5624, Adjusted R-squared: 0.5367
## F-statistic: 21.85 on 2 and 34 DF, p-value: 7.908e-07
##
##
## Value of test-statistic is: -4.5899 10.5342
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -122302 -33 128 3194 39890
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -59.1152 3990.8895 -0.015 0.9883
## z.lag.1 -2.0542 0.2809 -7.312 2.16e-08 ***
## z.diff.lag 0.3661 0.1620 2.260 0.0306 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 23950 on 33 degrees of freedom
## Multiple R-squared: 0.7851, Adjusted R-squared: 0.7721
## F-statistic: 60.29 on 2 and 33 DF, p-value: 9.575e-12
##
##
## Value of test-statistic is: -7.3121 26.7331
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3774.8 -8.5 7.6 153.8 1405.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.5770 136.0281 -0.026 0.9792
## z.lag.1 -1.9231 0.2817 -6.826 8.67e-08 ***
## z.diff.lag 0.3189 0.1650 1.933 0.0618 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 816.2 on 33 degrees of freedom
## Multiple R-squared: 0.7566, Adjusted R-squared: 0.7419
## F-statistic: 51.3 on 2 and 33 DF, p-value: 7.468e-11
##
##
## Value of test-statistic is: -6.8261 23.2975
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -126145 4 98 3475 40914
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -62.8278 4120.1308 -0.015 0.9879
## z.lag.1 -2.0486 0.2811 -7.287 2.31e-08 ***
## z.diff.lag 0.3635 0.1622 2.241 0.0318 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24720 on 33 degrees of freedom
## Multiple R-squared: 0.7841, Adjusted R-squared: 0.771
## F-statistic: 59.93 on 2 and 33 DF, p-value: 1.034e-11
##
##
## Value of test-statistic is: -7.2874 26.5531
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -212049 3439 3616 7512 50040
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.427e+03 6.651e+03 -0.515 0.610
## z.lag.1 -1.161e+00 2.570e-01 -4.519 7.16e-05 ***
## z.diff.lag 2.837e-02 1.710e-01 0.166 0.869
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 40240 on 34 degrees of freedom
## Multiple R-squared: 0.5652, Adjusted R-squared: 0.5396
## F-statistic: 22.1 on 2 and 34 DF, p-value: 7.104e-07
##
##
## Value of test-statistic is: -4.5188 10.2109
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -39706 523 552 1328 5397
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -536.6703 1179.7320 -0.455 0.652066
## z.lag.1 -1.0962 0.2503 -4.380 0.000108 ***
## z.diff.lag 0.0265 0.1710 0.155 0.877779
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7139 on 34 degrees of freedom
## Multiple R-squared: 0.5343, Adjusted R-squared: 0.5069
## F-statistic: 19.5 on 2 and 34 DF, p-value: 2.282e-06
##
##
## Value of test-statistic is: -4.3797 9.591
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -251865 3962 4113 7266 54035
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.951e+03 7.775e+03 -0.508 0.615
## z.lag.1 -1.147e+00 2.561e-01 -4.479 8.05e-05 ***
## z.diff.lag 2.346e-02 1.710e-01 0.137 0.892
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 47030 on 34 degrees of freedom
## Multiple R-squared: 0.5608, Adjusted R-squared: 0.535
## F-statistic: 21.71 on 2 and 34 DF, p-value: 8.412e-07
##
##
## Value of test-statistic is: -4.4789 10.031
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: HA_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -498515 7308 7680 16394 79503
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.257e+03 1.504e+04 -0.482 0.632564
## z.lag.1 -1.099e+00 2.558e-01 -4.298 0.000137 ***
## z.diff.lag -1.766e-02 1.710e-01 -0.103 0.918334
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 91030 on 34 degrees of freedom
## Multiple R-squared: 0.56, Adjusted R-squared: 0.5341
## F-statistic: 21.64 on 2 and 34 DF, p-value: 8.677e-07
##
##
## Value of test-statistic is: -4.2983 9.2388
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2620.02 -6.54 2.36 87.40 715.32
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.2727 87.6069 -0.015 0.9885
## z.lag.1 -1.9521 0.2854 -6.839 8.35e-08 ***
## z.diff.lag 0.3114 0.1654 1.882 0.0687 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 525.6 on 33 degrees of freedom
## Multiple R-squared: 0.7691, Adjusted R-squared: 0.7551
## F-statistic: 54.96 on 2 and 33 DF, p-value: 3.136e-11
##
##
## Value of test-statistic is: -6.8391 23.3864
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -271125 4427 4937 6316 59860
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -4.835e+03 8.667e+03 -0.558 0.581
## z.lag.1 -1.239e+00 2.626e-01 -4.716 3.99e-05 ***
## z.diff.lag 5.356e-02 1.712e-01 0.313 0.756
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 52320 on 34 degrees of freedom
## Multiple R-squared: 0.589, Adjusted R-squared: 0.5649
## F-statistic: 24.37 on 2 and 34 DF, p-value: 2.721e-07
##
##
## Value of test-statistic is: -4.7164 11.1222
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -224867 3246 3430 6976 46583
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.214e+03 6.832e+03 -0.470 0.641065
## z.lag.1 -1.104e+00 2.596e-01 -4.251 0.000157 ***
## z.diff.lag -4.581e-02 1.708e-01 -0.268 0.790149
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 41360 on 34 degrees of freedom
## Multiple R-squared: 0.5798, Adjusted R-squared: 0.5551
## F-statistic: 23.45 on 2 and 34 DF, p-value: 3.974e-07
##
##
## Value of test-statistic is: -4.2514 9.0393
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18680.2 -822.4 205.0 229.1 22015.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -202.5747 925.2871 -0.219 0.82801
## z.lag.1 -0.8240 0.2349 -3.508 0.00129 **
## z.diff.lag -0.1424 0.1695 -0.841 0.40644
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5621 on 34 degrees of freedom
## Multiple R-squared: 0.4911, Adjusted R-squared: 0.4611
## F-statistic: 16.4 on 2 and 34 DF, p-value: 1.031e-05
##
##
## Value of test-statistic is: -3.5082 6.1546
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -245183 3356 3498 7075 52213
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.365e+03 7.435e+03 -0.453 0.653699
## z.lag.1 -1.065e+00 2.564e-01 -4.154 0.000208 ***
## z.diff.lag -5.713e-02 1.707e-01 -0.335 0.739878
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 45030 on 34 degrees of freedom
## Multiple R-squared: 0.5668, Adjusted R-squared: 0.5413
## F-statistic: 22.24 on 2 and 34 DF, p-value: 6.661e-07
##
##
## Value of test-statistic is: -4.1544 8.6315
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: DOv_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -38696 173 256 1010 7805
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -224.31125 1172.67546 -0.191 0.849443
## z.lag.1 -0.98762 0.24327 -4.060 0.000273 ***
## z.diff.lag -0.01981 0.17139 -0.116 0.908666
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7127 on 34 degrees of freedom
## Multiple R-squared: 0.5042, Adjusted R-squared: 0.475
## F-statistic: 17.29 on 2 and 34 DF, p-value: 6.618e-06
##
##
## Value of test-statistic is: -4.0597 8.241
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_AL ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -28759.1 415.6 491.0 1420.1 6559.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -416.3385 878.0485 -0.474 0.638
## z.lag.1 -1.2824 0.2601 -4.930 2.12e-05 ***
## z.diff.lag 0.1036 0.1706 0.607 0.548
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5314 on 34 degrees of freedom
## Multiple R-squared: 0.5854, Adjusted R-squared: 0.5611
## F-statistic: 24.01 on 2 and 34 DF, p-value: 3.154e-07
##
##
## Value of test-statistic is: -4.9301 12.1533
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -28140.6 440.8 492.9 1335.2 5496.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -444.88303 856.87174 -0.519 0.607
## z.lag.1 -1.23771 0.25752 -4.806 3.06e-05 ***
## z.diff.lag 0.08974 0.17086 0.525 0.603
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5180 on 34 degrees of freedom
## Multiple R-squared: 0.5713, Adjusted R-squared: 0.5461
## F-statistic: 22.66 on 2 and 34 DF, p-value: 5.576e-07
##
##
## Value of test-statistic is: -4.8062 11.5501
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -56934 855 1004 2755 12051
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -860.60162 1732.37127 -0.497 0.623
## z.lag.1 -1.25806 0.25885 -4.860 2.61e-05 ***
## z.diff.lag 0.09515 0.17076 0.557 0.581
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 10480 on 34 degrees of freedom
## Multiple R-squared: 0.5782, Adjusted R-squared: 0.5534
## F-statistic: 23.3 on 2 and 34 DF, p-value: 4.237e-07
##
##
## Value of test-statistic is: -4.8601 11.8106
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19143.8 -1018.5 524.6 548.0 14022.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -526.57069 817.74870 -0.644 0.524
## z.lag.1 -1.24168 0.25635 -4.844 2.74e-05 ***
## z.diff.lag 0.09486 0.16958 0.559 0.580
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4933 on 34 degrees of freedom
## Multiple R-squared: 0.5709, Adjusted R-squared: 0.5457
## F-statistic: 22.62 on 2 and 34 DF, p-value: 5.667e-07
##
##
## Value of test-statistic is: -4.8438 11.7313
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -34642 -182 714 729 10575
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -712.58506 1166.69262 -0.611 0.545411
## z.lag.1 -1.03661 0.24590 -4.216 0.000174 ***
## z.diff.lag -0.01473 0.16995 -0.087 0.931458
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7049 on 34 degrees of freedom
## Multiple R-squared: 0.5291, Adjusted R-squared: 0.5014
## F-statistic: 19.1 on 2 and 34 DF, p-value: 2.757e-06
##
##
## Value of test-statistic is: -4.2156 8.893
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Arbitraj ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -12315.7 59.1 123.5 257.5 3879.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -122.0210 401.9623 -0.304 0.763311
## z.lag.1 -1.0619 0.2647 -4.011 0.000313 ***
## z.diff.lag -0.1250 0.1698 -0.736 0.466886
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2439 on 34 degrees of freedom
## Multiple R-squared: 0.6129, Adjusted R-squared: 0.5902
## F-statistic: 26.92 on 2 and 34 DF, p-value: 9.823e-08
##
##
## Value of test-statistic is: -4.0114 8.0464
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -65826 -503 1308 1436 25655
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.307e+03 2.273e+03 -0.575 0.569186
## z.lag.1 -1.064e+00 2.521e-01 -4.220 0.000172 ***
## z.diff.lag -2.825e-02 1.704e-01 -0.166 0.869352
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 13730 on 34 degrees of freedom
## Multiple R-squared: 0.5484, Adjusted R-squared: 0.5218
## F-statistic: 20.64 on 2 and 34 DF, p-value: 1.351e-06
##
##
## Value of test-statistic is: -4.2201 8.9076
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_AC ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -27006.2 598.2 832.6 1026.2 5989.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.289e+02 8.590e+02 -0.965 0.341
## z.lag.1 -1.132e+00 2.561e-01 -4.421 9.56e-05 ***
## z.diff.lag 8.173e-03 1.708e-01 0.048 0.962
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5109 on 34 degrees of freedom
## Multiple R-squared: 0.5616, Adjusted R-squared: 0.5358
## F-statistic: 21.78 on 2 and 34 DF, p-value: 8.169e-07
##
##
## Value of test-statistic is: -4.4205 9.7712
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Kap ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17248.7 44.4 411.4 423.4 5639.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -410.12295 593.77868 -0.691 0.494
## z.lag.1 -1.10954 0.25185 -4.406 9.99e-05 ***
## z.diff.lag 0.01117 0.16957 0.066 0.948
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3577 on 34 degrees of freedom
## Multiple R-squared: 0.549, Adjusted R-squared: 0.5224
## F-statistic: 20.69 on 2 and 34 DF, p-value: 1.324e-06
##
##
## Value of test-statistic is: -4.4056 9.7079
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Top ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -44253 677 1238 1268 9921
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.236e+03 1.439e+03 -0.859 0.396
## z.lag.1 -1.122e+00 2.545e-01 -4.408 9.91e-05 ***
## z.diff.lag 7.517e-03 1.703e-01 0.044 0.965
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 8606 on 34 degrees of freedom
## Multiple R-squared: 0.5569, Adjusted R-squared: 0.5309
## F-statistic: 21.37 on 2 and 34 DF, p-value: 9.768e-07
##
##
## Value of test-statistic is: -4.4082 9.7177
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Repo ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4100.5 -74.0 183.2 185.4 1329.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -184.13780 147.77071 -1.246 0.221
## z.lag.1 -1.31318 0.27090 -4.847 2.71e-05 ***
## z.diff.lag 0.04292 0.17080 0.251 0.803
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 861.7 on 34 degrees of freedom
## Multiple R-squared: 0.631, Adjusted R-squared: 0.6093
## F-statistic: 29.07 on 2 and 34 DF, p-value: 4.355e-08
##
##
## Value of test-statistic is: -4.8475 11.7586
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Ger_Hiss_Sen ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -67099 786 1074 7129 32603
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1064.9494 2679.1564 -0.397 0.6935
## z.lag.1 -1.7071 0.2639 -6.469 2.13e-07 ***
## z.diff.lag 0.2956 0.1625 1.819 0.0777 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 16240 on 34 degrees of freedom
## Multiple R-squared: 0.6922, Adjusted R-squared: 0.6741
## F-statistic: 38.24 on 2 and 34 DF, p-value: 1.994e-09
##
##
## Value of test-statistic is: -6.469 20.9328
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2122.36 17.07 20.83 35.73 2953.45
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -19.7734 149.4244 -0.132 0.896
## z.lag.1 -1.3551 0.2497 -5.427 4.78e-06 ***
## z.diff.lag 0.2175 0.1673 1.300 0.202
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 908.7 on 34 degrees of freedom
## Multiple R-squared: 0.5775, Adjusted R-squared: 0.5527
## F-statistic: 23.24 on 2 and 34 DF, p-value: 4.354e-07
##
##
## Value of test-statistic is: -5.4275 14.7288
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2151.21 -2.00 8.02 10.64 2747.54
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.4063 135.4015 -0.062 0.9509
## z.lag.1 -1.4215 0.2372 -5.992 8.82e-07 ***
## z.diff.lag 0.3269 0.1621 2.017 0.0516 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 823.6 on 34 degrees of freedom
## Multiple R-squared: 0.5853, Adjusted R-squared: 0.5609
## F-statistic: 23.99 on 2 and 34 DF, p-value: 3.177e-07
##
##
## Value of test-statistic is: -5.992 17.9519
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4283.2 -22.2 28.9 49.4 5702.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -28.3014 284.4765 -0.099 0.921
## z.lag.1 -1.3873 0.2438 -5.691 2.17e-06 ***
## z.diff.lag 0.2716 0.1650 1.646 0.109
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1730 on 34 degrees of freedom
## Multiple R-squared: 0.579, Adjusted R-squared: 0.5543
## F-statistic: 23.38 on 2 and 34 DF, p-value: 4.095e-07
##
##
## Value of test-statistic is: -5.6909 16.1929
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2130.85 25.19 28.18 35.71 2262.28
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -28.3813 110.6983 -0.256 0.799
## z.lag.1 -1.4018 0.2483 -5.645 2.49e-06 ***
## z.diff.lag 0.2507 0.1656 1.514 0.139
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 672.7 on 34 degrees of freedom
## Multiple R-squared: 0.5885, Adjusted R-squared: 0.5643
## F-statistic: 24.31 on 2 and 34 DF, p-value: 2.782e-07
##
##
## Value of test-statistic is: -5.6449 15.9327
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1784.13 -31.88 44.59 51.59 1291.92
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -44.8666 103.6188 -0.433 0.6678
## z.lag.1 -1.5731 0.2515 -6.254 4.04e-07 ***
## z.diff.lag 0.2918 0.1569 1.859 0.0716 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 628.4 on 34 degrees of freedom
## Multiple R-squared: 0.6449, Adjusted R-squared: 0.624
## F-statistic: 30.87 on 2 and 34 DF, p-value: 2.273e-08
##
##
## Value of test-statistic is: -6.2542 19.5578
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3929.0 -202.6 72.2 86.4 3412.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -73.5733 196.7377 -0.374 0.7108
## z.lag.1 -1.4340 0.2349 -6.105 6.29e-07 ***
## z.diff.lag 0.3349 0.1581 2.118 0.0416 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1194 on 34 degrees of freedom
## Multiple R-squared: 0.5911, Adjusted R-squared: 0.567
## F-statistic: 24.58 on 2 and 34 DF, p-value: 2.497e-07
##
##
## Value of test-statistic is: -6.1053 18.6378
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: VOB_İsl ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -16952.6 173.6 234.9 717.0 17733.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2.230e+02 1.065e+03 -0.209 0.835
## z.lag.1 -1.350e+00 2.806e-01 -4.812 3.01e-05 ***
## z.diff.lag 7.341e-03 1.714e-01 0.043 0.966
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6471 on 34 degrees of freedom
## Multiple R-squared: 0.6702, Adjusted R-squared: 0.6508
## F-statistic: 34.55 on 2 and 34 DF, p-value: 6.455e-09
##
##
## Value of test-statistic is: -4.8119 11.5781
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Fatura_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -12282.8 30.0 45.2 692.6 2576.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -29.37849 370.02681 -0.079 0.937
## z.lag.1 -1.14250 0.25062 -4.559 6.36e-05 ***
## z.diff.lag 0.06531 0.17112 0.382 0.705
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2250 on 34 degrees of freedom
## Multiple R-squared: 0.5382, Adjusted R-squared: 0.5111
## F-statistic: 19.81 on 2 and 34 DF, p-value: 1.974e-06
##
##
## Value of test-statistic is: -4.5588 10.3912
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vergi_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2584.52 8.33 15.49 129.47 593.84
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.07351 80.45471 -0.088 0.930
## z.lag.1 -1.24124 0.26281 -4.723 3.92e-05 ***
## z.diff.lag 0.05081 0.17101 0.297 0.768
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 489.4 on 34 degrees of freedom
## Multiple R-squared: 0.5924, Adjusted R-squared: 0.5684
## F-statistic: 24.71 on 2 and 34 DF, p-value: 2.368e-07
##
##
## Value of test-statistic is: -4.723 11.1545
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: SSK_BAGKUR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2403.49 2.36 13.31 134.33 473.84
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.2926 73.1778 -0.004 0.997
## z.lag.1 -1.2130 0.2500 -4.851 2.68e-05 ***
## z.diff.lag 0.1236 0.1702 0.726 0.473
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 445.1 on 34 degrees of freedom
## Multiple R-squared: 0.5469, Adjusted R-squared: 0.5202
## F-statistic: 20.52 on 2 and 34 DF, p-value: 1.432e-06
##
##
## Value of test-statistic is: -4.8513 11.7676
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Kredi_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17883.7 49.5 99.3 909.8 3564.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -28.015 534.391 -0.052 0.958
## z.lag.1 -1.175 0.245 -4.794 3.17e-05 ***
## z.diff.lag 0.131 0.170 0.770 0.446
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3250 on 34 degrees of freedom
## Multiple R-squared: 0.5275, Adjusted R-squared: 0.4997
## F-statistic: 18.98 on 2 and 34 DF, p-value: 2.913e-06
##
##
## Value of test-statistic is: -4.7941 11.4915
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: DİG_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1792.95 12.45 17.34 137.32 384.81
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -11.2990 59.8439 -0.189 0.851
## z.lag.1 -1.2611 0.2558 -4.929 2.12e-05 ***
## z.diff.lag 0.1167 0.1702 0.686 0.497
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 363.8 on 34 degrees of freedom
## Multiple R-squared: 0.5709, Adjusted R-squared: 0.5456
## F-statistic: 22.62 on 2 and 34 DF, p-value: 5.674e-07
##
##
## Value of test-statistic is: -4.9291 12.1485
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: MB_Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -43447 111 242 1631 8600
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -76.0983 1316.7508 -0.058 0.954
## z.lag.1 -1.2300 0.2511 -4.898 2.33e-05 ***
## z.diff.lag 0.1282 0.1701 0.754 0.456
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 8009 on 34 degrees of freedom
## Multiple R-squared: 0.5527, Adjusted R-squared: 0.5264
## F-statistic: 21 on 2 and 34 DF, p-value: 1.15e-06
##
##
## Value of test-statistic is: -4.898 11.9955
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------#İnternet Bankaciligi Odemeler
ib_odemelerr <- read_excel("~/ib_odemelerr.xlsx")
View(ib_odemelerr)time_series7 <- ts(ib_odemelerr, start = c(2015, 1), frequency =4)columns_to_test <- colnames(ib_odemelerr)[-1]
for (col in columns_to_test) {
adf_results[[col]] <- ur.df(diff(ib_odemelerr[[col]]), type = "drift", lags = 1)
}
for (col in names(adf_results)) {
cat("### ADF Testi Sonucu:", col, "###\n")
print(summary(adf_results[[col]]))
cat("\n--------------------------\n")
}## ### ADF Testi Sonucu: EFT ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -495691 2205 8977 12485 94643
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.730e+03 1.499e+04 -0.582 0.564
## z.lag.1 -1.176e+00 2.562e-01 -4.590 5.81e-05 ***
## z.diff.lag 4.763e-02 1.710e-01 0.279 0.782
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 90540 on 34 degrees of freedom
## Multiple R-squared: 0.5624, Adjusted R-squared: 0.5367
## F-statistic: 21.85 on 2 and 34 DF, p-value: 7.908e-07
##
##
## Value of test-statistic is: -4.5899 10.5342
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -122302 -33 128 3194 39890
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -59.1152 3990.8895 -0.015 0.9883
## z.lag.1 -2.0542 0.2809 -7.312 2.16e-08 ***
## z.diff.lag 0.3661 0.1620 2.260 0.0306 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 23950 on 33 degrees of freedom
## Multiple R-squared: 0.7851, Adjusted R-squared: 0.7721
## F-statistic: 60.29 on 2 and 33 DF, p-value: 9.575e-12
##
##
## Value of test-statistic is: -7.3121 26.7331
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3774.8 -8.5 7.6 153.8 1405.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.5770 136.0281 -0.026 0.9792
## z.lag.1 -1.9231 0.2817 -6.826 8.67e-08 ***
## z.diff.lag 0.3189 0.1650 1.933 0.0618 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 816.2 on 33 degrees of freedom
## Multiple R-squared: 0.7566, Adjusted R-squared: 0.7419
## F-statistic: 51.3 on 2 and 33 DF, p-value: 7.468e-11
##
##
## Value of test-statistic is: -6.8261 23.2975
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: KH_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -126145 4 98 3475 40914
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -62.8278 4120.1308 -0.015 0.9879
## z.lag.1 -2.0486 0.2811 -7.287 2.31e-08 ***
## z.diff.lag 0.3635 0.1622 2.241 0.0318 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24720 on 33 degrees of freedom
## Multiple R-squared: 0.7841, Adjusted R-squared: 0.771
## F-statistic: 59.93 on 2 and 33 DF, p-value: 1.034e-11
##
##
## Value of test-statistic is: -7.2874 26.5531
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -212049 3439 3616 7512 50040
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.427e+03 6.651e+03 -0.515 0.610
## z.lag.1 -1.161e+00 2.570e-01 -4.519 7.16e-05 ***
## z.diff.lag 2.837e-02 1.710e-01 0.166 0.869
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 40240 on 34 degrees of freedom
## Multiple R-squared: 0.5652, Adjusted R-squared: 0.5396
## F-statistic: 22.1 on 2 and 34 DF, p-value: 7.104e-07
##
##
## Value of test-statistic is: -4.5188 10.2109
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -39706 523 552 1328 5397
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -536.6703 1179.7320 -0.455 0.652066
## z.lag.1 -1.0962 0.2503 -4.380 0.000108 ***
## z.diff.lag 0.0265 0.1710 0.155 0.877779
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7139 on 34 degrees of freedom
## Multiple R-squared: 0.5343, Adjusted R-squared: 0.5069
## F-statistic: 19.5 on 2 and 34 DF, p-value: 2.282e-06
##
##
## Value of test-statistic is: -4.3797 9.591
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: U_S_Y_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -251865 3962 4113 7266 54035
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.951e+03 7.775e+03 -0.508 0.615
## z.lag.1 -1.147e+00 2.561e-01 -4.479 8.05e-05 ***
## z.diff.lag 2.346e-02 1.710e-01 0.137 0.892
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 47030 on 34 degrees of freedom
## Multiple R-squared: 0.5608, Adjusted R-squared: 0.535
## F-statistic: 21.71 on 2 and 34 DF, p-value: 8.412e-07
##
##
## Value of test-statistic is: -4.4789 10.031
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: HA_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -498515 7308 7680 16394 79503
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7.257e+03 1.504e+04 -0.482 0.632564
## z.lag.1 -1.099e+00 2.558e-01 -4.298 0.000137 ***
## z.diff.lag -1.766e-02 1.710e-01 -0.103 0.918334
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 91030 on 34 degrees of freedom
## Multiple R-squared: 0.56, Adjusted R-squared: 0.5341
## F-statistic: 21.64 on 2 and 34 DF, p-value: 8.677e-07
##
##
## Value of test-statistic is: -4.2983 9.2388
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2620.02 -6.54 2.36 87.40 715.32
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.2727 87.6069 -0.015 0.9885
## z.lag.1 -1.9521 0.2854 -6.839 8.35e-08 ***
## z.diff.lag 0.3114 0.1654 1.882 0.0687 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 525.6 on 33 degrees of freedom
## Multiple R-squared: 0.7691, Adjusted R-squared: 0.7551
## F-statistic: 54.96 on 2 and 33 DF, p-value: 3.136e-11
##
##
## Value of test-statistic is: -6.8391 23.3864
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -271125 4427 4937 6316 59860
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -4.835e+03 8.667e+03 -0.558 0.581
## z.lag.1 -1.239e+00 2.626e-01 -4.716 3.99e-05 ***
## z.diff.lag 5.356e-02 1.712e-01 0.313 0.756
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 52320 on 34 degrees of freedom
## Multiple R-squared: 0.589, Adjusted R-squared: 0.5649
## F-statistic: 24.37 on 2 and 34 DF, p-value: 2.721e-07
##
##
## Value of test-statistic is: -4.7164 11.1222
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_TP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -224867 3246 3430 6976 46583
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.214e+03 6.832e+03 -0.470 0.641065
## z.lag.1 -1.104e+00 2.596e-01 -4.251 0.000157 ***
## z.diff.lag -4.581e-02 1.708e-01 -0.268 0.790149
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 41360 on 34 degrees of freedom
## Multiple R-squared: 0.5798, Adjusted R-squared: 0.5551
## F-statistic: 23.45 on 2 and 34 DF, p-value: 3.974e-07
##
##
## Value of test-statistic is: -4.2514 9.0393
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_YP_HA ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18680.2 -822.4 205.0 229.1 22015.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -202.5747 925.2871 -0.219 0.82801
## z.lag.1 -0.8240 0.2349 -3.508 0.00129 **
## z.diff.lag -0.1424 0.1695 -0.841 0.40644
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5621 on 34 degrees of freedom
## Multiple R-squared: 0.4911, Adjusted R-squared: 0.4611
## F-statistic: 16.4 on 2 and 34 DF, p-value: 1.031e-05
##
##
## Value of test-statistic is: -3.5082 6.1546
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: K_H_A_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -245183 3356 3498 7075 52213
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3.365e+03 7.435e+03 -0.453 0.653699
## z.lag.1 -1.065e+00 2.564e-01 -4.154 0.000208 ***
## z.diff.lag -5.713e-02 1.707e-01 -0.335 0.739878
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 45030 on 34 degrees of freedom
## Multiple R-squared: 0.5668, Adjusted R-squared: 0.5413
## F-statistic: 22.24 on 2 and 34 DF, p-value: 6.661e-07
##
##
## Value of test-statistic is: -4.1544 8.6315
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: DOv_TR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -38696 173 256 1010 7805
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -224.31125 1172.67546 -0.191 0.849443
## z.lag.1 -0.98762 0.24327 -4.060 0.000273 ***
## z.diff.lag -0.01981 0.17139 -0.116 0.908666
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7127 on 34 degrees of freedom
## Multiple R-squared: 0.5042, Adjusted R-squared: 0.475
## F-statistic: 17.29 on 2 and 34 DF, p-value: 6.618e-06
##
##
## Value of test-statistic is: -4.0597 8.241
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_AL ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -28759.1 415.6 491.0 1420.1 6559.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -416.3385 878.0485 -0.474 0.638
## z.lag.1 -1.2824 0.2601 -4.930 2.12e-05 ***
## z.diff.lag 0.1036 0.1706 0.607 0.548
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5314 on 34 degrees of freedom
## Multiple R-squared: 0.5854, Adjusted R-squared: 0.5611
## F-statistic: 24.01 on 2 and 34 DF, p-value: 3.154e-07
##
##
## Value of test-statistic is: -4.9301 12.1533
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -28140.6 440.8 492.9 1335.2 5496.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -444.88303 856.87174 -0.519 0.607
## z.lag.1 -1.23771 0.25752 -4.806 3.06e-05 ***
## z.diff.lag 0.08974 0.17086 0.525 0.603
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5180 on 34 degrees of freedom
## Multiple R-squared: 0.5713, Adjusted R-squared: 0.5461
## F-statistic: 22.66 on 2 and 34 DF, p-value: 5.576e-07
##
##
## Value of test-statistic is: -4.8062 11.5501
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: YFon_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -56934 855 1004 2755 12051
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -860.60162 1732.37127 -0.497 0.623
## z.lag.1 -1.25806 0.25885 -4.860 2.61e-05 ***
## z.diff.lag 0.09515 0.17076 0.557 0.581
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 10480 on 34 degrees of freedom
## Multiple R-squared: 0.5782, Adjusted R-squared: 0.5534
## F-statistic: 23.3 on 2 and 34 DF, p-value: 4.237e-07
##
##
## Value of test-statistic is: -4.8601 11.8106
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19143.8 -1018.5 524.6 548.0 14022.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -526.57069 817.74870 -0.644 0.524
## z.lag.1 -1.24168 0.25635 -4.844 2.74e-05 ***
## z.diff.lag 0.09486 0.16958 0.559 0.580
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4933 on 34 degrees of freedom
## Multiple R-squared: 0.5709, Adjusted R-squared: 0.5457
## F-statistic: 22.62 on 2 and 34 DF, p-value: 5.667e-07
##
##
## Value of test-statistic is: -4.8438 11.7313
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -34642 -182 714 729 10575
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -712.58506 1166.69262 -0.611 0.545411
## z.lag.1 -1.03661 0.24590 -4.216 0.000174 ***
## z.diff.lag -0.01473 0.16995 -0.087 0.931458
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7049 on 34 degrees of freedom
## Multiple R-squared: 0.5291, Adjusted R-squared: 0.5014
## F-statistic: 19.1 on 2 and 34 DF, p-value: 2.757e-06
##
##
## Value of test-statistic is: -4.2156 8.893
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Arbitraj ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -12315.7 59.1 123.5 257.5 3879.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -122.0210 401.9623 -0.304 0.763311
## z.lag.1 -1.0619 0.2647 -4.011 0.000313 ***
## z.diff.lag -0.1250 0.1698 -0.736 0.466886
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2439 on 34 degrees of freedom
## Multiple R-squared: 0.6129, Adjusted R-squared: 0.5902
## F-statistic: 26.92 on 2 and 34 DF, p-value: 9.823e-08
##
##
## Value of test-statistic is: -4.0114 8.0464
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Dov_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -65826 -503 1308 1436 25655
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.307e+03 2.273e+03 -0.575 0.569186
## z.lag.1 -1.064e+00 2.521e-01 -4.220 0.000172 ***
## z.diff.lag -2.825e-02 1.704e-01 -0.166 0.869352
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 13730 on 34 degrees of freedom
## Multiple R-squared: 0.5484, Adjusted R-squared: 0.5218
## F-statistic: 20.64 on 2 and 34 DF, p-value: 1.351e-06
##
##
## Value of test-statistic is: -4.2201 8.9076
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_AC ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -27006.2 598.2 832.6 1026.2 5989.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.289e+02 8.590e+02 -0.965 0.341
## z.lag.1 -1.132e+00 2.561e-01 -4.421 9.56e-05 ***
## z.diff.lag 8.173e-03 1.708e-01 0.048 0.962
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5109 on 34 degrees of freedom
## Multiple R-squared: 0.5616, Adjusted R-squared: 0.5358
## F-statistic: 21.78 on 2 and 34 DF, p-value: 8.169e-07
##
##
## Value of test-statistic is: -4.4205 9.7712
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Kap ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17248.7 44.4 411.4 423.4 5639.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -410.12295 593.77868 -0.691 0.494
## z.lag.1 -1.10954 0.25185 -4.406 9.99e-05 ***
## z.diff.lag 0.01117 0.16957 0.066 0.948
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3577 on 34 degrees of freedom
## Multiple R-squared: 0.549, Adjusted R-squared: 0.5224
## F-statistic: 20.69 on 2 and 34 DF, p-value: 1.324e-06
##
##
## Value of test-statistic is: -4.4056 9.7079
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vad_Hes_Top ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -44253 677 1238 1268 9921
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.236e+03 1.439e+03 -0.859 0.396
## z.lag.1 -1.122e+00 2.545e-01 -4.408 9.91e-05 ***
## z.diff.lag 7.517e-03 1.703e-01 0.044 0.965
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 8606 on 34 degrees of freedom
## Multiple R-squared: 0.5569, Adjusted R-squared: 0.5309
## F-statistic: 21.37 on 2 and 34 DF, p-value: 9.768e-07
##
##
## Value of test-statistic is: -4.4082 9.7177
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Repo ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4100.5 -74.0 183.2 185.4 1329.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -184.13780 147.77071 -1.246 0.221
## z.lag.1 -1.31318 0.27090 -4.847 2.71e-05 ***
## z.diff.lag 0.04292 0.17080 0.251 0.803
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 861.7 on 34 degrees of freedom
## Multiple R-squared: 0.631, Adjusted R-squared: 0.6093
## F-statistic: 29.07 on 2 and 34 DF, p-value: 4.355e-08
##
##
## Value of test-statistic is: -4.8475 11.7586
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Ger_Hiss_Sen ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -67099 786 1074 7129 32603
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1064.9494 2679.1564 -0.397 0.6935
## z.lag.1 -1.7071 0.2639 -6.469 2.13e-07 ***
## z.diff.lag 0.2956 0.1625 1.819 0.0777 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 16240 on 34 degrees of freedom
## Multiple R-squared: 0.6922, Adjusted R-squared: 0.6741
## F-statistic: 38.24 on 2 and 34 DF, p-value: 1.994e-09
##
##
## Value of test-statistic is: -6.469 20.9328
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2122.36 17.07 20.83 35.73 2953.45
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -19.7734 149.4244 -0.132 0.896
## z.lag.1 -1.3551 0.2497 -5.427 4.78e-06 ***
## z.diff.lag 0.2175 0.1673 1.300 0.202
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 908.7 on 34 degrees of freedom
## Multiple R-squared: 0.5775, Adjusted R-squared: 0.5527
## F-statistic: 23.24 on 2 and 34 DF, p-value: 4.354e-07
##
##
## Value of test-statistic is: -5.4275 14.7288
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2151.21 -2.00 8.02 10.64 2747.54
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.4063 135.4015 -0.062 0.9509
## z.lag.1 -1.4215 0.2372 -5.992 8.82e-07 ***
## z.diff.lag 0.3269 0.1621 2.017 0.0516 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 823.6 on 34 degrees of freedom
## Multiple R-squared: 0.5853, Adjusted R-squared: 0.5609
## F-statistic: 23.99 on 2 and 34 DF, p-value: 3.177e-07
##
##
## Value of test-statistic is: -5.992 17.9519
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Tahvil_Bono_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4283.2 -22.2 28.9 49.4 5702.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -28.3014 284.4765 -0.099 0.921
## z.lag.1 -1.3873 0.2438 -5.691 2.17e-06 ***
## z.diff.lag 0.2716 0.1650 1.646 0.109
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1730 on 34 degrees of freedom
## Multiple R-squared: 0.579, Adjusted R-squared: 0.5543
## F-statistic: 23.38 on 2 and 34 DF, p-value: 4.095e-07
##
##
## Value of test-statistic is: -5.6909 16.1929
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Al ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2130.85 25.19 28.18 35.71 2262.28
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -28.3813 110.6983 -0.256 0.799
## z.lag.1 -1.4018 0.2483 -5.645 2.49e-06 ***
## z.diff.lag 0.2507 0.1656 1.514 0.139
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 672.7 on 34 degrees of freedom
## Multiple R-squared: 0.5885, Adjusted R-squared: 0.5643
## F-statistic: 24.31 on 2 and 34 DF, p-value: 2.782e-07
##
##
## Value of test-statistic is: -5.6449 15.9327
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Sat ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1784.13 -31.88 44.59 51.59 1291.92
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -44.8666 103.6188 -0.433 0.6678
## z.lag.1 -1.5731 0.2515 -6.254 4.04e-07 ***
## z.diff.lag 0.2918 0.1569 1.859 0.0716 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 628.4 on 34 degrees of freedom
## Multiple R-squared: 0.6449, Adjusted R-squared: 0.624
## F-statistic: 30.87 on 2 and 34 DF, p-value: 2.273e-08
##
##
## Value of test-statistic is: -6.2542 19.5578
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Altin_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3929.0 -202.6 72.2 86.4 3412.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -73.5733 196.7377 -0.374 0.7108
## z.lag.1 -1.4340 0.2349 -6.105 6.29e-07 ***
## z.diff.lag 0.3349 0.1581 2.118 0.0416 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1194 on 34 degrees of freedom
## Multiple R-squared: 0.5911, Adjusted R-squared: 0.567
## F-statistic: 24.58 on 2 and 34 DF, p-value: 2.497e-07
##
##
## Value of test-statistic is: -6.1053 18.6378
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: VOB_İsl ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -16952.6 173.6 234.9 717.0 17733.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2.230e+02 1.065e+03 -0.209 0.835
## z.lag.1 -1.350e+00 2.806e-01 -4.812 3.01e-05 ***
## z.diff.lag 7.341e-03 1.714e-01 0.043 0.966
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6471 on 34 degrees of freedom
## Multiple R-squared: 0.6702, Adjusted R-squared: 0.6508
## F-statistic: 34.55 on 2 and 34 DF, p-value: 6.455e-09
##
##
## Value of test-statistic is: -4.8119 11.5781
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Fatura_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -10723.6 234.1 239.7 465.8 2186.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -234.51564 342.92805 -0.684 0.499
## z.lag.1 -1.27592 0.26088 -4.891 2.38e-05 ***
## z.diff.lag 0.09371 0.17073 0.549 0.587
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2064 on 34 degrees of freedom
## Multiple R-squared: 0.5869, Adjusted R-squared: 0.5626
## F-statistic: 24.15 on 2 and 34 DF, p-value: 2.971e-07
##
##
## Value of test-statistic is: -4.8909 11.9606
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Vergi_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -25227.0 548.4 577.8 935.4 3360.7
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -555.20683 758.50238 -0.732 0.469
## z.lag.1 -1.16078 0.25160 -4.614 5.41e-05 ***
## z.diff.lag 0.06213 0.17036 0.365 0.718
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4567 on 34 degrees of freedom
## Multiple R-squared: 0.5497, Adjusted R-squared: 0.5232
## F-statistic: 20.75 on 2 and 34 DF, p-value: 1.288e-06
##
##
## Value of test-statistic is: -4.6136 10.6454
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: SSK_BAGKUR ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -8205.3 57.6 132.1 191.6 3060.5
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -128.9942 266.3941 -0.484 0.631
## z.lag.1 -1.1723 0.2488 -4.712 4.05e-05 ***
## z.diff.lag 0.0975 0.1703 0.572 0.571
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1614 on 34 degrees of freedom
## Multiple R-squared: 0.5392, Adjusted R-squared: 0.5121
## F-statistic: 19.9 on 2 and 34 DF, p-value: 1.902e-06
##
##
## Value of test-statistic is: -4.7116 11.1009
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: Kredi_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6560.1 131.7 135.4 286.9 1986.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -130.92876 205.48346 -0.637 0.528
## z.lag.1 -1.31338 0.26971 -4.870 2.53e-05 ***
## z.diff.lag 0.05227 0.17078 0.306 0.761
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1241 on 34 degrees of freedom
## Multiple R-squared: 0.6258, Adjusted R-squared: 0.6037
## F-statistic: 28.42 on 2 and 34 DF, p-value: 5.542e-08
##
##
## Value of test-statistic is: -4.8696 11.8582
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: DİG_ODM ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -7841.7 65.5 77.2 298.1 1503.5
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -61.50377 236.11242 -0.260 0.796061
## z.lag.1 -1.12480 0.25911 -4.341 0.000121 ***
## z.diff.lag -0.01602 0.17086 -0.094 0.925857
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1433 on 34 degrees of freedom
## Multiple R-squared: 0.5723, Adjusted R-squared: 0.5472
## F-statistic: 22.75 on 2 and 34 DF, p-value: 5.355e-07
##
##
## Value of test-statistic is: -4.3409 9.4219
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: MB_Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -43447 111 242 1631 8600
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -76.0983 1316.7508 -0.058 0.954
## z.lag.1 -1.2300 0.2511 -4.898 2.33e-05 ***
## z.diff.lag 0.1282 0.1701 0.754 0.456
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 8009 on 34 degrees of freedom
## Multiple R-squared: 0.5527, Adjusted R-squared: 0.5264
## F-statistic: 21 on 2 and 34 DF, p-value: 1.15e-06
##
##
## Value of test-statistic is: -4.898 11.9955
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------
## ### ADF Testi Sonucu: İB_Genel_Toplam ###
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -59564 1103 1150 2436 10017
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.099e+03 1.786e+03 -0.615 0.542
## z.lag.1 -1.187e+00 2.536e-01 -4.679 4.47e-05 ***
## z.diff.lag 7.465e-02 1.707e-01 0.437 0.665
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 10780 on 34 degrees of freedom
## Multiple R-squared: 0.5552, Adjusted R-squared: 0.529
## F-statistic: 21.22 on 2 and 34 DF, p-value: 1.045e-06
##
##
## Value of test-statistic is: -4.6787 10.9459
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.58 -2.93 -2.60
## phi1 7.06 4.86 3.94
##
##
## --------------------------PHILLIPS PERON TESTI
head(TA)## # A tibble: 6 × 4
## Tarih TP YP Genel_Toplam
## <chr> <dbl> <dbl> <dbl>
## 1 2015Q1 1271371. 744648. 2016019.
## 2 2015Q2 1317232. 789773. 2107005.
## 3 2015Q3 1350565. 921681. 2272246.
## 4 2015Q4 1367915. 868080. 2235995.
## 5 2016Q1 1394369. 889853. 2284222.
## 6 2016Q2 1437455. 912463. 2349918.str(TA)## tibble [40 × 4] (S3: tbl_df/tbl/data.frame)
## $ Tarih : chr [1:40] "2015Q1" "2015Q2" "2015Q3" "2015Q4" ...
## $ TP : num [1:40] 1271371 1317232 1350565 1367915 1394369 ...
## $ YP : num [1:40] 744648 789773 921681 868080 889853 ...
## $ Genel_Toplam: num [1:40] 2016019 2107005 2272246 2235995 2284222 ...TA_subset <- TA[, c("TP", "YP", "Genel_Toplam")]
TA_ts <- ts(TA_subset)pp_TP <- ur.pp(TA_ts[, "TP"], type = "Z-tau", model = "constant", lags = "short")
summary_pp_TP <- summary(pp_TP)
cat("TP iCin Phillips-Perron Testi:\n")## TP iCin Phillips-Perron Testi:print(summary_pp_TP)##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1449383 -111872 -65726 160467 660159
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 7.374e+03 8.185e+04 0.09 0.929
## y.l1 1.089e+00 1.282e-02 84.92 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 356100 on 37 degrees of freedom
## Multiple R-squared: 0.9949, Adjusted R-squared: 0.9948
## F-statistic: 7211 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: 4.6062
##
## aux. Z statistics
## Z-tau-mu 0.1843
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917variables <- colnames(TA_ts)
pp_results <- lapply(variables, function(var) {
# PP testi
pp_test <- ur.pp(TA_ts[, var], type = "Z-tau", model = "constant", lags = "short")
# Ozet
pp_summary <- summary(pp_test)
# p-degeri (test istatistiginden)
p_value <- pp_summary@testreg$coefficients[1, 4]
# Sonucları bir liste olarak dondur
list(
variable = var,
summary = pp_summary,
p_value = p_value
)
})cat("Phillips-Perron Test Sonucları:\n\n")## Phillips-Perron Test Sonucları:for (result in pp_results) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
# p-degerlerini ayri bir ozet tablo olarak yazdir
cat("p-Degerleri Ozeti:\n")
p_values <- sapply(pp_results, function(x) x$p_value)
names(p_values) <- variables
print(p_values)
}## Degisken: TP
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1449383 -111872 -65726 160467 660159
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 7.374e+03 8.185e+04 0.09 0.929
## y.l1 1.089e+00 1.282e-02 84.92 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 356100 on 37 degrees of freedom
## Multiple R-squared: 0.9949, Adjusted R-squared: 0.9948
## F-statistic: 7211 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: 4.6062
##
## aux. Z statistics
## Z-tau-mu 0.1843
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.9287046
##
## p-Degerleri Ozeti:
## TP YP Genel_Toplam
## 0.9287046 0.4127638 0.6640947
## Degisken: YP
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1608018 -136978 -91016 100481 1346184
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 9.286e+04 1.121e+05 0.828 0.413
## y.l1 1.042e+00 2.657e-02 39.209 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 455400 on 37 degrees of freedom
## Multiple R-squared: 0.9765, Adjusted R-squared: 0.9759
## F-statistic: 1537 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: 1.7457
##
## aux. Z statistics
## Z-tau-mu 0.8366
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.4127638
##
## p-Degerleri Ozeti:
## TP YP Genel_Toplam
## 0.9287046 0.4127638 0.6640947
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3087209 -188978 -92082 245591 1868595
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 7.300e+04 1.667e+05 0.438 0.664
## y.l1 1.073e+00 1.576e-02 68.077 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 705200 on 37 degrees of freedom
## Multiple R-squared: 0.9921, Adjusted R-squared: 0.9919
## F-statistic: 4634 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: 3.8156
##
## aux. Z statistics
## Z-tau-mu 0.4393
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6640947
##
## p-Degerleri Ozeti:
## TP YP Genel_Toplam
## 0.9287046 0.4127638 0.6640947head(MobillBnk_PT)## # A tibble: 6 × 11
## Tarih EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2015Q1 32615. 5807. 167. 5974. 18455. 1067.
## 2 2015Q2 38405. 7501. 245. 7746. 22513. 1424.
## 3 2015Q3 46703. 9034. 350. 9384. 26601. 1829.
## 4 2015Q4 58638. 10091. 383. 10474. 32590. 2178.
## 5 2016Q1 63265. 11180. 444. 11625. 34609. 2195.
## 6 2016Q2 80623. 14253. 479. 14732. 44212. 2789.
## # ℹ 4 more variables: U_S_Y_Toplam <dbl>, HA_Toplam <dbl>, Dov_TR <dbl>,
## # Genel_Toplam <dbl>str(MobillBnk_PT)## tibble [40 × 11] (S3: tbl_df/tbl/data.frame)
## $ Tarih : chr [1:40] "2015Q1" "2015Q2" "2015Q3" "2015Q4" ...
## $ EFT : num [1:40] 32615 38405 46703 58638 63265 ...
## $ KH_A_TP_HA : num [1:40] 5807 7501 9034 10091 11180 ...
## $ KH_A_YP_HA : num [1:40] 167 245 350 383 444 ...
## $ KH_A_Toplam : num [1:40] 5974 7746 9384 10474 11625 ...
## $ U_S_Y_TP_HA : num [1:40] 18455 22513 26601 32590 34609 ...
## $ U_S_Y_YP_HA : num [1:40] 1067 1424 1829 2178 2195 ...
## $ U_S_Y_Toplam: num [1:40] 19522 23937 28430 34768 36804 ...
## $ HA_Toplam : num [1:40] 25496 31683 37814 45242 48429 ...
## $ Dov_TR : num [1:40] 58.3 93.5 121.4 152.3 267.2 ...
## $ Genel_Toplam: num [1:40] 58170 70182 84638 104032 111961 ...MobillBnk_PT_subset <- MobillBnk_PT[, c("EFT", "KH_A_TP_HA", "KH_A_YP_HA","KH_A_Toplam","U_S_Y_TP_HA","U_S_Y_YP_HA","U_S_Y_Toplam","HA_Toplam","Dov_TR","Genel_Toplam")]
MobillBnk_PT_ts <- ts(MobillBnk_PT_subset)variables <- colnames(MobillBnk_PT_ts)
pp_results2 <- lapply(variables, function(var) {
# PP testi
pp_test2 <- ur.pp(MobillBnk_PT_ts[, var], type = "Z-tau", model = "constant", lags = "short")
# Ozet
pp_summary2<- summary(pp_test2)
# p-degeri (test istatistiginden)
p_value2 <- pp_summary2@testreg$coefficients[1, 4]
# Sonucları bir liste olarak dondur
list(
variable = var,
summary = pp_summary2,
p_value = p_value2
)
})cat("Phillips-Perron Test Sonucları:\n\n")## Phillips-Perron Test Sonucları:for (result in pp_results2) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
# p-degerlerini ayri bir ozet tablo olarak yazdir
cat("p-Degerleri Ozeti:\n")
p_values <- sapply(pp_results2, function(x) x$p_value)
names(p_values) <- variables
print(p_values)
}## Degisken: EFT
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -415608 -17891 -14387 26929 151246
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.895e+04 1.613e+04 1.175 0.248
## y.l1 8.034e-01 9.842e-02 8.163 8.5e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 80420 on 37 degrees of freedom
## Multiple R-squared: 0.643, Adjusted R-squared: 0.6333
## F-statistic: 66.64 on 1 and 37 DF, p-value: 8.5e-10
##
##
## Value of test-statistic, type: Z-tau is: -1.9727
##
## aux. Z statistics
## Z-tau-mu 1.1598
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2476086
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: KH_A_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -90917 -3882 -3355 4885 32162
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 4.071e+03 3.532e+03 1.152 0.257
## y.l1 7.982e-01 9.947e-02 8.025 1.28e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 17980 on 37 degrees of freedom
## Multiple R-squared: 0.6351, Adjusted R-squared: 0.6252
## F-statistic: 64.4 on 1 and 37 DF, p-value: 1.281e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.0261
##
## aux. Z statistics
## Z-tau-mu 1.151
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2565098
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: KH_A_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3170.8 -117.9 -85.8 119.5 1283.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 120.50529 124.49401 0.968 0.339
## y.l1 0.85328 0.08622 9.896 6.09e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 631.8 on 37 degrees of freedom
## Multiple R-squared: 0.7258, Adjusted R-squared: 0.7184
## F-statistic: 97.94 on 1 and 37 DF, p-value: 6.09e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.8099
##
## aux. Z statistics
## Z-tau-mu 1.0322
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3393491
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: KH_A_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -94197 -3971 -3462 5005 32411
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 4.177e+03 3.652e+03 1.144 0.26
## y.l1 8.011e-01 9.885e-02 8.104 1.01e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 18580 on 37 degrees of freedom
## Multiple R-squared: 0.6397, Adjusted R-squared: 0.6299
## F-statistic: 65.68 on 1 and 37 DF, p-value: 1.012e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.0141
##
## aux. Z statistics
## Z-tau-mu 1.1447
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2600913
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: U_S_Y_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -211389 -9974 -8776 12306 78187
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.043e+04 8.681e+03 1.201 0.237
## y.l1 7.995e-01 9.950e-02 8.036 1.24e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 42770 on 37 degrees of freedom
## Multiple R-squared: 0.6357, Adjusted R-squared: 0.6259
## F-statistic: 64.58 on 1 and 37 DF, p-value: 1.239e-09
##
##
## Value of test-statistic, type: Z-tau is: -1.9642
##
## aux. Z statistics
## Z-tau-mu 1.1693
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2373907
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: U_S_Y_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17002.6 -569.9 -525.7 1119.7 4416.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 598.07865 624.51829 0.958 0.344
## y.l1 0.85407 0.08615 9.913 5.81e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3166 on 37 degrees of freedom
## Multiple R-squared: 0.7265, Adjusted R-squared: 0.7191
## F-statistic: 98.27 on 1 and 37 DF, p-value: 5.815e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.7904
##
## aux. Z statistics
## Z-tau-mu 1.0154
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3444484
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: U_S_Y_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -228785 -10443 -9227 12996 81035
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.093e+04 9.273e+03 1.178 0.246
## y.l1 8.052e-01 9.823e-02 8.197 7.69e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 45770 on 37 degrees of freedom
## Multiple R-squared: 0.6449, Adjusted R-squared: 0.6353
## F-statistic: 67.19 on 1 and 37 DF, p-value: 7.692e-10
##
##
## Value of test-statistic, type: Z-tau is: -1.9418
##
## aux. Z statistics
## Z-tau-mu 1.1526
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2462556
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: HA_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -323117 -14390 -12545 20171 113332
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.508e+04 1.289e+04 1.169 0.25
## y.l1 8.044e-01 9.833e-02 8.181 8.06e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 64140 on 37 degrees of freedom
## Multiple R-squared: 0.644, Adjusted R-squared: 0.6344
## F-statistic: 66.93 on 1 and 37 DF, p-value: 8.058e-10
##
##
## Value of test-statistic, type: Z-tau is: -1.9609
##
## aux. Z statistics
## Z-tau-mu 1.1521
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2497155
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: Dov_TR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1888.44 -83.14 -66.57 72.94 687.92
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 92.1122 75.3848 1.222 0.229
## y.l1 0.7837 0.1019 7.691 3.47e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 386.9 on 37 degrees of freedom
## Multiple R-squared: 0.6152, Adjusted R-squared: 0.6048
## F-statistic: 59.15 on 1 and 37 DF, p-value: 3.473e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.1381
##
## aux. Z statistics
## Z-tau-mu 1.2303
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2294759
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -742529 -31792 -26507 47687 263694
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.363e+04 2.889e+04 1.164 0.252
## y.l1 8.065e-01 9.779e-02 8.248 6.62e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 143800 on 37 degrees of freedom
## Multiple R-squared: 0.6477, Adjusted R-squared: 0.6382
## F-statistic: 68.03 on 1 and 37 DF, p-value: 6.617e-10
##
##
## Value of test-statistic, type: Z-tau is: -1.9555
##
## aux. Z statistics
## Z-tau-mu 1.1501
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2518182
##
## p-Degerleri Ozeti:
## EFT KH_A_TP_HA KH_A_YP_HA KH_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.2476086 0.2565098 0.3393491 0.2600913 0.2373907 0.3444484
## U_S_Y_Toplam HA_Toplam Dov_TR Genel_Toplam
## 0.2462556 0.2497155 0.2294759 0.2518182head(ibPT)## # A tibble: 6 × 11
## Tarih EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2015Q1 251623. 90096. 6524. 96620. 96533. 16520.
## 2 2015Q2 272085. 101124. 8116. 109240. 108511. 19113.
## 3 2015Q3 281309. 110622. 8790. 119412. 113490. 18303.
## 4 2015Q4 315097. 113440. 9379. 122818. 131994. 19827.
## 5 2016Q1 297229. 108228. 9017. 117245. 122831. 19385.
## 6 2016Q2 347011. 112938. 30901. 143840. 151656. 19554.
## # ℹ 4 more variables: U_S_Y_Toplam <dbl>, HA_Toplam <dbl>, DOv_TR <dbl>,
## # Genel_Toplam <dbl>str(ibPT)## tibble [40 × 11] (S3: tbl_df/tbl/data.frame)
## $ Tarih : chr [1:40] "2015Q1" "2015Q2" "2015Q3" "2015Q4" ...
## $ EFT : num [1:40] 251623 272085 281309 315097 297229 ...
## $ K_H_A_TP_HA : num [1:40] 90096 101124 110622 113440 108228 ...
## $ K_H_A_YP_HA : num [1:40] 6524 8116 8790 9379 9017 ...
## $ K_H_A_Toplam: num [1:40] 96620 109240 119412 122818 117245 ...
## $ U_S_Y_TP_HA : num [1:40] 96533 108511 113490 131994 122831 ...
## $ U_S_Y_YP_HA : num [1:40] 16520 19113 18303 19827 19385 ...
## $ U_S_Y_Toplam: num [1:40] 113053 127624 131792 151821 142216 ...
## $ HA_Toplam : num [1:40] 209672 236864 251204 274640 259461 ...
## $ DOv_TR : num [1:40] 7594 7887 8837 10344 14759 ...
## $ Genel_Toplam: num [1:40] 468889 516836 541350 600081 571449 ...ibPT_subset <- ibPT[, c("EFT", "K_H_A_TP_HA", "K_H_A_YP_HA","K_H_A_Toplam","U_S_Y_TP_HA","U_S_Y_YP_HA","U_S_Y_Toplam","HA_Toplam","DOv_TR","Genel_Toplam")]
ibPT_ts <- ts(ibPT_subset)variables <- colnames(ibPT_ts)
pp_results3 <- lapply(variables, function(var) {
# PP testi
pp_test3 <- ur.pp(ibPT_ts[, var], type = "Z-tau", model = "constant", lags = "short")
# Ozet
pp_summary3<- summary(pp_test3)
# p-degeri (test istatistiginden)
p_value3 <- pp_summary3@testreg$coefficients[1, 4]
# Sonucları bir liste olarak dondur
list(
variable = var,
summary = pp_summary3,
p_value = p_value3
)
})cat("Phillips-Perron Test Sonucları:\n\n")## Phillips-Perron Test Sonucları:for (result in pp_results3) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
# p-degerlerini ayri bir ozet tablo olarak yazdir
cat("p-Degerleri Ozeti:\n")
p_values <- sapply(pp_results3, function(x) x$p_value)
names(p_values) <- variables
print(p_values)
}## Degisken: EFT
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -482811 -8842 -8291 31014 106284
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 9.107e+03 1.945e+04 0.468 0.642
## y.l1 9.241e-01 6.736e-02 13.718 4.38e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 86240 on 37 degrees of freedom
## Multiple R-squared: 0.8357, Adjusted R-squared: 0.8313
## F-statistic: 188.2 on 1 and 37 DF, p-value: 4.377e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.0729
##
## aux. Z statistics
## Z-tau-mu 0.4181
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6423661
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: K_H_A_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -217250 -5448 -5066 10907 53093
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.606e+03 8.713e+03 0.643 0.524
## y.l1 9.023e-01 7.472e-02 12.077 2.11e-14 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 39400 on 37 degrees of freedom
## Multiple R-squared: 0.7976, Adjusted R-squared: 0.7922
## F-statistic: 145.9 on 1 and 37 DF, p-value: 2.11e-14
##
##
## Value of test-statistic, type: Z-tau is: -1.3029
##
## aux. Z statistics
## Z-tau-mu 0.64
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.5239402
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: K_H_A_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18444.7 -740.7 -729.2 568.1 21866.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 7.424e+02 1.150e+03 0.645 0.523
## y.l1 9.197e-01 6.787e-02 13.551 6.41e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5358 on 37 degrees of freedom
## Multiple R-squared: 0.8323, Adjusted R-squared: 0.8278
## F-statistic: 183.6 on 1 and 37 DF, p-value: 6.412e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.3523
##
## aux. Z statistics
## Z-tau-mu 0.771
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.5226552
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: K_H_A_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -237172 -5472 -5100 13042 59535
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.631e+03 9.491e+03 0.593 0.557
## y.l1 9.123e-01 7.149e-02 12.762 4.03e-15 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 42860 on 37 degrees of freedom
## Multiple R-squared: 0.8149, Adjusted R-squared: 0.8099
## F-statistic: 162.9 on 1 and 37 DF, p-value: 4.028e-15
##
##
## Value of test-statistic, type: Z-tau is: -1.2495
##
## aux. Z statistics
## Z-tau-mu 0.6124
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.5566419
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: U_S_Y_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -207066 -4152 -3704 13643 55247
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 4.260e+03 8.598e+03 0.495 0.623
## y.l1 9.265e-01 6.649e-02 13.935 2.69e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 38380 on 37 degrees of freedom
## Multiple R-squared: 0.84, Adjusted R-squared: 0.8356
## F-statistic: 194.2 on 1 and 37 DF, p-value: 2.685e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.0354
##
## aux. Z statistics
## Z-tau-mu 0.4335
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6232342
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: U_S_Y_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -37731 -846 -811 2511 6641
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 8.590e+02 1.492e+03 0.576 0.568
## y.l1 9.106e-01 7.206e-02 12.637 5.42e-15 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6742 on 37 degrees of freedom
## Multiple R-squared: 0.8119, Adjusted R-squared: 0.8068
## F-statistic: 159.7 on 1 and 37 DF, p-value: 5.419e-15
##
##
## Value of test-statistic, type: Z-tau is: -1.243
##
## aux. Z statistics
## Z-tau-mu 0.578
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.5682839
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: U_S_Y_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -245033 -4878 -4220 16519 60219
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.013e+03 1.003e+04 0.50 0.62
## y.l1 9.253e-01 6.693e-02 13.83 3.43e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 44790 on 37 degrees of freedom
## Multiple R-squared: 0.8378, Adjusted R-squared: 0.8334
## F-statistic: 191.2 on 1 and 37 DF, p-value: 3.433e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.0571
##
## aux. Z statistics
## Z-tau-mu 0.4484
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6201462
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: HA_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -482971 -9978 -9078 29963 90333
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.029e+04 1.932e+04 0.532 0.598
## y.l1 9.211e-01 6.847e-02 13.452 8.03e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 86590 on 37 degrees of freedom
## Multiple R-squared: 0.8302, Adjusted R-squared: 0.8257
## F-statistic: 181 on 1 and 37 DF, p-value: 8.032e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.1373
##
## aux. Z statistics
## Z-tau-mu 0.5192
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.5976209
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: DOv_TR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -36099 -1023 -951 1994 8365
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.040e+03 1.408e+03 0.739 0.465
## y.l1 9.013e-01 7.391e-02 12.195 1.58e-14 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6678 on 37 degrees of freedom
## Multiple R-squared: 0.8008, Adjusted R-squared: 0.7954
## F-statistic: 148.7 on 1 and 37 DF, p-value: 1.581e-14
##
##
## Value of test-statistic, type: Z-tau is: -1.4614
##
## aux. Z statistics
## Z-tau-mu 0.8294
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.4647111
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1002583 -19568 -18000 65157 204692
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.010e+04 3.999e+04 0.503 0.618
## y.l1 9.228e-01 6.789e-02 13.591 5.84e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 178400 on 37 degrees of freedom
## Multiple R-squared: 0.8331, Adjusted R-squared: 0.8286
## F-statistic: 184.7 on 1 and 37 DF, p-value: 5.844e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.112
##
## aux. Z statistics
## Z-tau-mu 0.4799
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6182584
##
## p-Degerleri Ozeti:
## EFT K_H_A_TP_HA K_H_A_YP_HA K_H_A_Toplam U_S_Y_TP_HA U_S_Y_YP_HA
## 0.6423661 0.5239402 0.5226552 0.5566419 0.6232342 0.5682839
## U_S_Y_Toplam HA_Toplam DOv_TR Genel_Toplam
## 0.6201462 0.5976209 0.4647111 0.6182584head(MB_Yatirimlar)## # A tibble: 6 × 21
## Tarih YFon_AL YFon_Sat YFon_Toplam Dov_Al Dov_Sat Arbitraj Dov_Toplam
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2015Q1 2098. 2217. 4315. 3348. 5286. 168. 8802.
## 2 2015Q2 2172. 2482. 4654. 5371. 6720. 293. 12384.
## 3 2015Q3 2528. 2830. 5358. 6750. 10910. 321. 17982.
## 4 2015Q4 2613. 3359. 5972. 6361. 9317. 391. 16069.
## 5 2016Q1 3064. 4113. 7177. 7569. 9552. 460. 17582.
## 6 2016Q2 3651. 4267. 7918. 7105. 11564. 482. 19152.
## # ℹ 13 more variables: Vad_Hes_AC <dbl>, Vad_Hes_Kap <dbl>, Vad_Hes_Top <dbl>,
## # Repo <dbl>, Ger_Hiss_Sen <dbl>, Tahvil_Bono_Al <dbl>,
## # Tahvil_Bono_Sat <dbl>, Tahvil_Bono_Toplam <dbl>, Altin_Al <dbl>,
## # Altin_Sat <dbl>, Altin_Toplam <dbl>, VOB_İsl <dbl>, Genel_Toplam <dbl>str(MB_Yatirimlar)## tibble [40 × 21] (S3: tbl_df/tbl/data.frame)
## $ Tarih : chr [1:40] "2015Q1" "2015Q2" "2015Q3" "2015Q4" ...
## $ YFon_AL : num [1:40] 2098 2172 2528 2613 3064 ...
## $ YFon_Sat : num [1:40] 2217 2482 2830 3359 4113 ...
## $ YFon_Toplam : num [1:40] 4315 4654 5358 5972 7177 ...
## $ Dov_Al : num [1:40] 3348 5371 6750 6361 7569 ...
## $ Dov_Sat : num [1:40] 5286 6720 10910 9317 9552 ...
## $ Arbitraj : num [1:40] 168 293 321 391 460 ...
## $ Dov_Toplam : num [1:40] 8802 12384 17982 16069 17582 ...
## $ Vad_Hes_AC : num [1:40] 5336 6288 7950 8182 9270 ...
## $ Vad_Hes_Kap : num [1:40] 2977 3946 4881 5113 5969 ...
## $ Vad_Hes_Top : num [1:40] 8313 10233 12831 13295 15239 ...
## $ Repo : num [1:40] 150 180 237 298 229 ...
## $ Ger_Hiss_Sen : num [1:40] 7934 10171 7040 10077 10386 ...
## $ Tahvil_Bono_Al : num [1:40] 51.2 64.1 76.1 79.3 83.7 ...
## $ Tahvil_Bono_Sat : num [1:40] 28.7 36.8 43 44.1 48.5 ...
## $ Tahvil_Bono_Toplam: num [1:40] 79.9 100.9 119.1 123.3 132.2 ...
## $ Altin_Al : num [1:40] 224 166 298 303 381 ...
## $ Altin_Sat : num [1:40] 398 155 380 234 452 ...
## $ Altin_Toplam : num [1:40] 621 321 678 537 833 ...
## $ VOB_İsl : num [1:40] 1562 3684 3932 2483 2208 ...
## $ Genel_Toplam : num [1:40] 31778 41728 48177 48855 53786 ...MB_Yatirimlar_subset <- MB_Yatirimlar[, c("YFon_AL", "YFon_Sat", "YFon_Toplam","Dov_Al","Dov_Sat","Arbitraj","Dov_Toplam","Vad_Hes_AC","Vad_Hes_Kap","Vad_Hes_Top","Repo","Ger_Hiss_Sen","Tahvil_Bono_Al","Tahvil_Bono_Sat","Tahvil_Bono_Toplam","Altin_Al","Altin_Sat","Altin_Toplam","VOB_İsl","Genel_Toplam")]
MB_Yatirimlar_ts <- ts(MB_Yatirimlar_subset)variables <- colnames(MB_Yatirimlar_ts)
pp_results4 <- lapply(variables, function(var) {
# PP testi
pp_test4 <- ur.pp(MB_Yatirimlar_ts[, var], type = "Z-tau", model = "constant", lags = "short")
# Ozet
pp_summary4<- summary(pp_test4)
# p-degeri (test istatistiginden)
p_value4 <- pp_summary4@testreg$coefficients[1, 4]
# Sonucları bir liste olarak dondur
list(
variable = var,
summary = pp_summary4,
p_value = p_value4
)
})cat("Phillips-Perron Test Sonucları:\n\n")## Phillips-Perron Test Sonucları:for (result in pp_results4) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
# p-degerlerini ayri bir ozet tablo olarak yazdir
cat("p-Degerleri Ozeti:\n")
p_values <- sapply(pp_results4, function(x) x$p_value)
names(p_values) <- variables
print(p_values)
}## Degisken: YFon_AL
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -23155 -1660 -656 1464 14050
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1704.6759 1066.8009 1.598 0.119
## y.l1 0.6809 0.1208 5.639 1.94e-06 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5269 on 37 degrees of freedom
## Multiple R-squared: 0.4622, Adjusted R-squared: 0.4477
## F-statistic: 31.8 on 1 and 37 DF, p-value: 1.936e-06
##
##
## Value of test-statistic, type: Z-tau is: -2.6407
##
## aux. Z statistics
## Z-tau-mu 1.5968
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1185643
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: YFon_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -23332 -1826 -460 1639 12597
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1858.0202 1132.8413 1.640 0.109
## y.l1 0.6928 0.1190 5.822 1.09e-06 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5415 on 37 degrees of freedom
## Multiple R-squared: 0.4781, Adjusted R-squared: 0.464
## F-statistic: 33.89 on 1 and 37 DF, p-value: 1.094e-06
##
##
## Value of test-statistic, type: Z-tau is: -2.5833
##
## aux. Z statistics
## Z-tau-mu 1.6413
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1094514
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: YFon_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -46516 -3475 -1272 2974 26633
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3562.1129 2196.1923 1.622 0.113
## y.l1 0.6873 0.1198 5.736 1.43e-06 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 10660 on 37 degrees of freedom
## Multiple R-squared: 0.4707, Adjusted R-squared: 0.4564
## F-statistic: 32.9 on 1 and 37 DF, p-value: 1.431e-06
##
##
## Value of test-statistic, type: Z-tau is: -2.6092
##
## aux. Z statistics
## Z-tau-mu 1.6215
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1133059
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Dov_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -30347 -2835 -2569 -69 42002
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2848.0048 2173.3212 1.31 0.198
## y.l1 0.7467 0.1101 6.78 5.57e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 11000 on 37 degrees of freedom
## Multiple R-squared: 0.5541, Adjusted R-squared: 0.542
## F-statistic: 45.97 on 1 and 37 DF, p-value: 5.574e-08
##
##
## Value of test-statistic, type: Z-tau is: -2.2662
##
## aux. Z statistics
## Z-tau-mu 1.2902
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1981241
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Dov_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -39561 -3432 -2645 2606 38448
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3464.6865 2683.6829 1.291 0.205
## y.l1 0.7788 0.1043 7.470 6.76e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 13000 on 37 degrees of freedom
## Multiple R-squared: 0.6013, Adjusted R-squared: 0.5905
## F-statistic: 55.81 on 1 and 37 DF, p-value: 6.758e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.081
##
## aux. Z statistics
## Z-tau-mu 1.2646
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2047053
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Arbitraj
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2192.84 -75.49 -68.76 92.63 873.58
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 76.30700 88.96194 0.858 0.397
## y.l1 0.89076 0.07559 11.784 4.36e-14 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 436.1 on 37 degrees of freedom
## Multiple R-squared: 0.7896, Adjusted R-squared: 0.7839
## F-statistic: 138.9 on 1 and 37 DF, p-value: 4.357e-14
##
##
## Value of test-statistic, type: Z-tau is: -1.6374
##
## aux. Z statistics
## Z-tau-mu 0.9803
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3965534
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Dov_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -61785 -5938 -3624 3111 77586
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5992.0644 4783.8525 1.253 0.218
## y.l1 0.7826 0.1034 7.571 4.99e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 23520 on 37 degrees of freedom
## Multiple R-squared: 0.6077, Adjusted R-squared: 0.5971
## F-statistic: 57.32 on 1 and 37 DF, p-value: 4.987e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.0773
##
## aux. Z statistics
## Z-tau-mu 1.2358
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.218225
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Vad_Hes_AC
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -66050 -2792 -1016 2700 19160
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.868e+03 2.624e+03 1.093 0.281
## y.l1 8.311e-01 9.221e-02 9.013 7.19e-11 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 12900 on 37 degrees of freedom
## Multiple R-squared: 0.6871, Adjusted R-squared: 0.6786
## F-statistic: 81.24 on 1 and 37 DF, p-value: 7.195e-11
##
##
## Value of test-statistic, type: Z-tau is: -1.899
##
## aux. Z statistics
## Z-tau-mu 1.1357
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2813879
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Vad_Hes_Kap
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -56504 -2370 -1470 1297 20238
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.414e+03 2.218e+03 1.088 0.284
## y.l1 8.193e-01 9.468e-02 8.653 2.03e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 11270 on 37 degrees of freedom
## Multiple R-squared: 0.6693, Adjusted R-squared: 0.6603
## F-statistic: 74.87 on 1 and 37 DF, p-value: 2.028e-10
##
##
## Value of test-statistic, type: Z-tau is: -1.9421
##
## aux. Z statistics
## Z-tau-mu 1.1079
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2835344
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Vad_Hes_Top
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -122613 -5179 -1943 4142 39380
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.278e+03 4.834e+03 1.092 0.282
## y.l1 8.260e-01 9.327e-02 8.857 1.13e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 24130 on 37 degrees of freedom
## Multiple R-squared: 0.6795, Adjusted R-squared: 0.6708
## F-statistic: 78.44 on 1 and 37 DF, p-value: 1.127e-10
##
##
## Value of test-statistic, type: Z-tau is: -1.9166
##
## aux. Z statistics
## Z-tau-mu 1.1234
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2819637
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Repo
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -862.54 -44.76 -38.05 76.31 309.11
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 45.20084 38.57784 1.172 0.249
## y.l1 0.81099 0.09827 8.252 6.54e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 181.3 on 37 degrees of freedom
## Multiple R-squared: 0.648, Adjusted R-squared: 0.6384
## F-statistic: 68.1 on 1 and 37 DF, p-value: 6.536e-10
##
##
## Value of test-statistic, type: Z-tau is: -1.848
##
## aux. Z statistics
## Z-tau-mu 1.1192
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2488159
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Ger_Hiss_Sen
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -108348 -13482 -8867 13056 107895
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.384e+04 7.460e+03 1.855 0.0715 .
## y.l1 5.848e-01 1.338e-01 4.370 9.68e-05 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 37100 on 37 degrees of freedom
## Multiple R-squared: 0.3404, Adjusted R-squared: 0.3226
## F-statistic: 19.1 on 1 and 37 DF, p-value: 9.683e-05
##
##
## Value of test-statistic, type: Z-tau is: -3.1627
##
## aux. Z statistics
## Z-tau-mu 1.8918
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.07151595
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Tahvil_Bono_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -629.88 -119.34 -88.30 -25.86 2476.20
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 126.7933 81.4663 1.556 0.128129
## y.l1 0.5354 0.1388 3.858 0.000442 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 451 on 37 degrees of freedom
## Multiple R-squared: 0.2869, Adjusted R-squared: 0.2676
## F-statistic: 14.89 on 1 and 37 DF, p-value: 0.0004416
##
##
## Value of test-statistic, type: Z-tau is: -3.3734
##
## aux. Z statistics
## Z-tau-mu 1.5682
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1281288
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Tahvil_Bono_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -440.15 -115.30 -99.24 -69.64 2331.83
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 122.1734 76.5026 1.597 0.118776
## y.l1 0.5077 0.1415 3.589 0.000959 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 425.5 on 37 degrees of freedom
## Multiple R-squared: 0.2582, Adjusted R-squared: 0.2381
## F-statistic: 12.88 on 1 and 37 DF, p-value: 0.0009586
##
##
## Value of test-statistic, type: Z-tau is: -3.4822
##
## aux. Z statistics
## Z-tau-mu 1.5978
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1187761
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Tahvil_Bono_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1064.1 -235.9 -183.6 -93.8 4812.7
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 250.2625 157.3962 1.590 0.12034
## y.l1 0.5197 0.1403 3.704 0.00069 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 872 on 37 degrees of freedom
## Multiple R-squared: 0.2705, Adjusted R-squared: 0.2508
## F-statistic: 13.72 on 1 and 37 DF, p-value: 0.0006901
##
##
## Value of test-statistic, type: Z-tau is: -3.4369
##
## aux. Z statistics
## Z-tau-mu 1.5966
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1203406
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Altin_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -9092.3 -809.4 -719.2 629.8 7558.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 818.6204 530.4374 1.543 0.131
## y.l1 0.6805 0.1206 5.642 1.92e-06 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2687 on 37 degrees of freedom
## Multiple R-squared: 0.4625, Adjusted R-squared: 0.4479
## F-statistic: 31.83 on 1 and 37 DF, p-value: 1.919e-06
##
##
## Value of test-statistic, type: Z-tau is: -2.6297
##
## aux. Z statistics
## Z-tau-mu 1.5318
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1312703
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Altin_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -7464.5 -693.1 -643.3 724.4 6253.4
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 696.7423 473.2703 1.472 0.149
## y.l1 0.6972 0.1182 5.898 8.62e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2405 on 37 degrees of freedom
## Multiple R-squared: 0.4846, Adjusted R-squared: 0.4707
## F-statistic: 34.79 on 1 and 37 DF, p-value: 8.621e-07
##
##
## Value of test-statistic, type: Z-tau is: -2.5171
##
## aux. Z statistics
## Z-tau-mu 1.4461
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1494262
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Altin_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -16826 -1422 -1106 1206 12431
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1441.5755 979.0263 1.472 0.149
## y.l1 0.7035 0.1171 6.008 6.13e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4954 on 37 degrees of freedom
## Multiple R-squared: 0.4938, Adjusted R-squared: 0.4801
## F-statistic: 36.09 on 1 and 37 DF, p-value: 6.128e-07
##
##
## Value of test-statistic, type: Z-tau is: -2.5069
##
## aux. Z statistics
## Z-tau-mu 1.4574
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1493533
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: VOB_İsl
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -21344 -1101 -1022 1007 10186
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1116.2796 894.4903 1.248 0.22
## y.l1 0.7500 0.1095 6.853 4.46e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4614 on 37 degrees of freedom
## Multiple R-squared: 0.5593, Adjusted R-squared: 0.5474
## F-statistic: 46.96 on 1 and 37 DF, p-value: 4.459e-08
##
##
## Value of test-statistic, type: Z-tau is: -2.2975
##
## aux. Z statistics
## Z-tau-mu 1.2558
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2198894
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -369712 -27845 -11188 39331 158322
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.843e+04 1.931e+04 1.473 0.149
## y.l1 7.480e-01 1.099e-01 6.805 5.16e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 91000 on 37 degrees of freedom
## Multiple R-squared: 0.5559, Adjusted R-squared: 0.5439
## F-statistic: 46.31 on 1 and 37 DF, p-value: 5.157e-08
##
##
## Value of test-statistic, type: Z-tau is: -2.3167
##
## aux. Z statistics
## Z-tau-mu 1.4886
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1493314
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.11856427 0.10945143 0.11330593 0.19812412
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.20470533 0.39655339 0.21822496 0.28138793
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.28353445 0.28196374 0.24881586 0.07151595
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.12812876 0.11877614 0.12034057 0.13127030
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.14942617 0.14935326 0.21988937 0.14933143head(ib_yatirimlar)## # A tibble: 6 × 21
## Tarih YFon_AL YFon_Sat YFon_Toplam Dov_Al Dov_Sat Arbitraj Dov_Toplam
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2015Q1 13271 14374 27646 13592 19237 3472 36301
## 2 2015Q2 12619 14017 26636 16621 21738 4205 42564
## 3 2015Q3 12628 13919 26547 15810 25643 4227 45680
## 4 2015Q4 13493 15559 29051 15957 23353 4450 43760
## 5 2016Q1 13877 15291 29169 16706 21989 4728 43423
## 6 2016Q2 13718 14143 27861 15037 24519 4641 44197
## # ℹ 13 more variables: Vad_Hes_AC <dbl>, Vad_Hes_Kap <dbl>, Vad_Hes_Top <dbl>,
## # Repo <dbl>, Ger_Hiss_Sen <dbl>, Tahvil_Bono_Al <dbl>,
## # Tahvil_Bono_Sat <dbl>, Tahvil_Bono_Toplam <dbl>, Altin_Al <dbl>,
## # Altin_Sat <dbl>, Altin_Toplam <dbl>, VOB_İsl <dbl>, Genel_Toplam <dbl>str(ib_yatirimlar)## tibble [40 × 21] (S3: tbl_df/tbl/data.frame)
## $ Tarih : chr [1:40] "2015Q1" "2015Q2" "2015Q3" "2015Q4" ...
## $ YFon_AL : num [1:40] 13271 12619 12628 13493 13877 ...
## $ YFon_Sat : num [1:40] 14374 14017 13919 15559 15291 ...
## $ YFon_Toplam : num [1:40] 27646 26636 26547 29051 29169 ...
## $ Dov_Al : num [1:40] 13592 16621 15810 15957 16706 ...
## $ Dov_Sat : num [1:40] 19237 21738 25643 23353 21989 ...
## $ Arbitraj : num [1:40] 3472 4205 4227 4450 4728 ...
## $ Dov_Toplam : num [1:40] 36301 42564 45680 43760 43423 ...
## $ Vad_Hes_AC : num [1:40] 25052 27073 27238 27566 27997 ...
## $ Vad_Hes_Kap : num [1:40] 10750 13456 13823 14811 14344 ...
## $ Vad_Hes_Top : num [1:40] 35802 40529 41061 42377 42341 ...
## $ Repo : num [1:40] 5965 5538 5080 4964 4893 ...
## $ Ger_Hiss_Sen : num [1:40] 30699 31366 17976 26323 24635 ...
## $ Tahvil_Bono_Al : num [1:40] 429 597 571 554 436 378 295 361 498 794 ...
## $ Tahvil_Bono_Sat : num [1:40] 186 222 237 221 213 191 157 157 198 519 ...
## $ Tahvil_Bono_Toplam: num [1:40] 615 819 808 775 650 ...
## $ Altin_Al : num [1:40] 824 576 763 723 751 ...
## $ Altin_Sat : num [1:40] 1702 550 1015 534 966 ...
## $ Altin_Toplam : num [1:40] 2526 1125 1778 1257 1717 ...
## $ VOB_İsl : num [1:40] 8262 6721 6160 6770 9589 ...
## $ Genel_Toplam : num [1:40] 147816 155299 145089 155279 156415 ...ib_yatirimlar_subset <- ib_yatirimlar[, c("YFon_AL", "YFon_Sat", "YFon_Toplam","Dov_Al","Dov_Sat","Arbitraj","Dov_Toplam","Vad_Hes_AC","Vad_Hes_Kap","Vad_Hes_Top","Repo","Ger_Hiss_Sen","Tahvil_Bono_Al","Tahvil_Bono_Sat","Tahvil_Bono_Toplam","Altin_Al","Altin_Sat","Altin_Toplam","VOB_İsl","Genel_Toplam")]
ib_yatirimlar_ts <- ts(ib_yatirimlar_subset)variables <- colnames(ib_yatirimlar_ts)
pp_results5 <- lapply(variables, function(var) {
# PP testi
pp_test5 <- ur.pp(ib_yatirimlar_ts[, var], type = "Z-tau", model = "constant", lags = "short")
# Ozet
pp_summary5<- summary(pp_test5)
# p-degeri (test istatistiginden)
p_value5 <- pp_summary5@testreg$coefficients[1, 4]
# Sonucları bir liste olarak dondur
list(
variable = var,
summary = pp_summary5,
p_value = p_value5
)
})cat("Phillips-Perron Test Sonucları:\n\n")## Phillips-Perron Test Sonucları:for (result in pp_results5) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
# p-degerlerini ayri bir ozet tablo olarak yazdir
cat("p-Degerleri Ozeti:\n")
p_values <- sapply(pp_results5, function(x) x$p_value)
names(p_values) <- variables
print(p_values)
}## Degisken: YFon_AL
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -26977.9 -954.8 -706.9 1840.4 8238.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 9.783e+02 1.119e+03 0.875 0.387
## y.l1 8.539e-01 8.767e-02 9.739 9.39e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 5006 on 37 degrees of freedom
## Multiple R-squared: 0.7194, Adjusted R-squared: 0.7118
## F-statistic: 94.85 on 1 and 37 DF, p-value: 9.39e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.5813
##
## aux. Z statistics
## Z-tau-mu 0.8018
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3874672
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: YFon_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -26396.5 -847.3 -676.9 1597.4 6956.7
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 8.677e+02 1.095e+03 0.792 0.433
## y.l1 8.673e-01 8.376e-02 10.355 1.76e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4870 on 37 degrees of freedom
## Multiple R-squared: 0.7434, Adjusted R-squared: 0.7365
## F-statistic: 107.2 on 1 and 37 DF, p-value: 1.759e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.4932
##
## aux. Z statistics
## Z-tau-mu 0.7122
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.4333426
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: YFon_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -53407 -1796 -1461 3737 15176
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.838e+03 2.211e+03 0.831 0.411
## y.l1 8.611e-01 8.561e-02 10.059 3.91e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 9860 on 37 degrees of freedom
## Multiple R-squared: 0.7322, Adjusted R-squared: 0.725
## F-statistic: 101.2 on 1 and 37 DF, p-value: 3.907e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.5345
##
## aux. Z statistics
## Z-tau-mu 0.7554
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.4111554
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Dov_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18082.4 -549.8 -531.6 788.5 14555.5
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.364e+02 1.052e+03 0.51 0.613
## y.l1 9.147e-01 7.044e-02 12.99 2.37e-15 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4734 on 37 degrees of freedom
## Multiple R-squared: 0.8201, Adjusted R-squared: 0.8152
## F-statistic: 168.6 on 1 and 37 DF, p-value: 2.374e-15
##
##
## Value of test-statistic, type: Z-tau is: -1.1711
##
## aux. Z statistics
## Z-tau-mu 0.4735
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6131182
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Dov_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -33501 -659 -647 1542 11702
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 6.610e+02 1.495e+03 0.442 0.661
## y.l1 9.263e-01 6.644e-02 13.942 2.64e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6715 on 37 degrees of freedom
## Multiple R-squared: 0.8401, Adjusted R-squared: 0.8358
## F-statistic: 194.4 on 1 and 37 DF, p-value: 2.643e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.1372
##
## aux. Z statistics
## Z-tau-mu 0.4676
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6609173
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Arbitraj
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -11787.8 -448.7 -430.2 559.9 4676.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 450.8586 505.6600 0.892 0.378
## y.l1 0.8638 0.0860 10.044 4.07e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2339 on 37 degrees of freedom
## Multiple R-squared: 0.7317, Adjusted R-squared: 0.7244
## F-statistic: 100.9 on 1 and 37 DF, p-value: 4.067e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.5448
##
## aux. Z statistics
## Z-tau-mu 0.8619
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3783564
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Dov_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -63939 -1361 -1341 2190 28371
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.367e+03 2.911e+03 0.47 0.641
## y.l1 9.234e-01 6.757e-02 13.67 4.92e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 13080 on 37 degrees of freedom
## Multiple R-squared: 0.8347, Adjusted R-squared: 0.8302
## F-statistic: 186.8 on 1 and 37 DF, p-value: 4.922e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.1491
##
## aux. Z statistics
## Z-tau-mu 0.4836
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6413399
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Vad_Hes_AC
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -26792.7 -103.0 -95.8 1510.4 6679.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.025e+02 1.122e+03 0.091 0.928
## y.l1 9.497e-01 5.438e-02 17.465 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4901 on 37 degrees of freedom
## Multiple R-squared: 0.8918, Adjusted R-squared: 0.8889
## F-statistic: 305 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -0.8607
##
## aux. Z statistics
## Z-tau-mu 0.0129
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.9276807
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Vad_Hes_Kap
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -16897.0 -280.5 -273.8 678.6 6165.4
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 279.61952 775.00372 0.361 0.72
## y.l1 0.93648 0.06269 14.939 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3436 on 37 degrees of freedom
## Multiple R-squared: 0.8578, Adjusted R-squared: 0.8539
## F-statistic: 223.2 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.0123
##
## aux. Z statistics
## Z-tau-mu 0.3599
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.7203026
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Vad_Hes_Top
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -43733 -347 -332 2194 10853
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.466e+02 1.887e+03 0.184 0.855
## y.l1 9.463e-01 5.734e-02 16.503 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 8264 on 37 degrees of freedom
## Multiple R-squared: 0.8804, Adjusted R-squared: 0.8772
## F-statistic: 272.4 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -0.8933
##
## aux. Z statistics
## Z-tau-mu 0.1365
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.8552267
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Repo
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4279.7 -13.2 -10.7 151.5 1448.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 12.11316 191.73352 0.063 0.95
## y.l1 0.93676 0.05232 17.906 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 842.5 on 37 degrees of freedom
## Multiple R-squared: 0.8965, Adjusted R-squared: 0.8937
## F-statistic: 320.6 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.1076
##
## aux. Z statistics
## Z-tau-mu -0.1241
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.9499656
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Ger_Hiss_Sen
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -73102 -3914 -3725 7166 41391
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3926.6574 3514.6579 1.117 0.271
## y.l1 0.7930 0.1023 7.752 2.89e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 16460 on 37 degrees of freedom
## Multiple R-squared: 0.6189, Adjusted R-squared: 0.6086
## F-statistic: 60.1 on 1 and 37 DF, p-value: 2.889e-09
##
##
## Value of test-statistic, type: Z-tau is: -1.8437
##
## aux. Z statistics
## Z-tau-mu 0.9806
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2711013
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Tahvil_Bono_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1429.8 -163.7 -162.0 -4.9 3214.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 165.3774 157.3791 1.051 0.3
## y.l1 0.7663 0.1065 7.195 1.56e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 845.4 on 37 degrees of freedom
## Multiple R-squared: 0.5832, Adjusted R-squared: 0.5719
## F-statistic: 51.77 on 1 and 37 DF, p-value: 1.561e-08
##
##
## Value of test-statistic, type: Z-tau is: -2.2035
##
## aux. Z statistics
## Z-tau-mu 1.056
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3001555
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Tahvil_Bono_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1392.56 -145.38 -143.42 -83.19 3071.94
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 145.7514 140.0286 1.041 0.305
## y.l1 0.7333 0.1122 6.537 1.18e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 780.1 on 37 degrees of freedom
## Multiple R-squared: 0.5359, Adjusted R-squared: 0.5234
## F-statistic: 42.73 on 1 and 37 DF, p-value: 1.183e-07
##
##
## Value of test-statistic, type: Z-tau is: -2.3847
##
## aux. Z statistics
## Z-tau-mu 1.0445
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3046903
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Tahvil_Bono_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2836.0 -310.2 -305.7 -126.1 6279.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 311.6914 296.7248 1.050 0.3
## y.l1 0.7518 0.1091 6.892 3.95e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1621 on 37 degrees of freedom
## Multiple R-squared: 0.5622, Adjusted R-squared: 0.5503
## F-statistic: 47.5 on 1 and 37 DF, p-value: 3.946e-08
##
##
## Value of test-statistic, type: Z-tau is: -2.2851
##
## aux. Z statistics
## Z-tau-mu 1.0552
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.3003291
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Altin_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1913.66 -162.21 -159.45 94.21 2252.79
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 162.1628 131.4096 1.234 0.225
## y.l1 0.7622 0.1085 7.025 2.62e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 633.2 on 37 degrees of freedom
## Multiple R-squared: 0.5715, Adjusted R-squared: 0.5599
## F-statistic: 49.35 on 1 and 37 DF, p-value: 2.624e-08
##
##
## Value of test-statistic, type: Z-tau is: -2.053
##
## aux. Z statistics
## Z-tau-mu 1.1377
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2249745
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Altin_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1438.5 -173.8 -172.8 324.2 1399.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 174.0121 131.4869 1.323 0.194
## y.l1 0.7086 0.1143 6.200 3.37e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 624.8 on 37 degrees of freedom
## Multiple R-squared: 0.5095, Adjusted R-squared: 0.4963
## F-statistic: 38.44 on 1 and 37 DF, p-value: 3.368e-07
##
##
## Value of test-statistic, type: Z-tau is: -2.4493
##
## aux. Z statistics
## Z-tau-mu 1.2438
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.1938164
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Altin_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3434.0 -281.8 -278.1 466.1 3523.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 281.1515 247.0870 1.138 0.262
## y.l1 0.7721 0.1056 7.312 1.09e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1175 on 37 degrees of freedom
## Multiple R-squared: 0.591, Adjusted R-squared: 0.5799
## F-statistic: 53.46 on 1 and 37 DF, p-value: 1.093e-08
##
##
## Value of test-statistic, type: Z-tau is: -2.0294
##
## aux. Z statistics
## Z-tau-mu 1.0402
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2624919
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: VOB_İsl
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17487.2 -1013.2 -970.9 665.6 17709.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.013e+03 1.309e+03 0.774 0.444
## y.l1 8.783e-01 8.108e-02 10.832 4.97e-13 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6409 on 37 degrees of freedom
## Multiple R-squared: 0.7602, Adjusted R-squared: 0.7538
## F-statistic: 117.3 on 1 and 37 DF, p-value: 4.973e-13
##
##
## Value of test-statistic, type: Z-tau is: -1.4523
##
## aux. Z statistics
## Z-tau-mu 0.7395
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.4439057
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -266366 -5883 -5431 12275 69013
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.924e+03 1.119e+04 0.53 0.6
## y.l1 9.120e-01 7.120e-02 12.81 3.6e-15 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 50040 on 37 degrees of freedom
## Multiple R-squared: 0.816, Adjusted R-squared: 0.811
## F-statistic: 164.1 on 1 and 37 DF, p-value: 3.602e-15
##
##
## Value of test-statistic, type: Z-tau is: -1.1722
##
## aux. Z statistics
## Z-tau-mu 0.4712
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.5996097
##
## p-Degerleri Ozeti:
## YFon_AL YFon_Sat YFon_Toplam Dov_Al
## 0.3874672 0.4333426 0.4111554 0.6131182
## Dov_Sat Arbitraj Dov_Toplam Vad_Hes_AC
## 0.6609173 0.3783564 0.6413399 0.9276807
## Vad_Hes_Kap Vad_Hes_Top Repo Ger_Hiss_Sen
## 0.7203026 0.8552267 0.9499656 0.2711013
## Tahvil_Bono_Al Tahvil_Bono_Sat Tahvil_Bono_Toplam Altin_Al
## 0.3001555 0.3046903 0.3003291 0.2249745
## Altin_Sat Altin_Toplam VOB_İsl Genel_Toplam
## 0.1938164 0.2624919 0.4439057 0.5996097MOBIL BANKACILIK ODEMELER
head(MB_Odemeler)## # A tibble: 6 × 7
## Tarih Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM MB_Genel_Toplam
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2015Q1 1016. 183. 47.1 1025. 357. 2629.
## 2 2015Q2 1068. 203. 60.7 1241. 333. 2905.
## 3 2015Q3 1178. 354. 92.0 1455. 404. 3483.
## 4 2015Q4 1512. 209. 117. 1682. 614. 4133.
## 5 2016Q1 2142. 491. 162. 2052. 701. 5548.
## 6 2016Q2 2098. 292. 211. 2502. 715. 5817.str(MB_Odemeler)## tibble [40 × 7] (S3: tbl_df/tbl/data.frame)
## $ Tarih : chr [1:40] "2015Q1" "2015Q2" "2015Q3" "2015Q4" ...
## $ Fatura_ODM : num [1:40] 1016 1068 1178 1512 2142 ...
## $ Vergi_ODM : num [1:40] 183 203 354 209 491 ...
## $ SSK_BAGKUR : num [1:40] 47.1 60.7 92 117.1 161.7 ...
## $ Kredi_ODM : num [1:40] 1025 1241 1455 1682 2052 ...
## $ DİG_ODM : num [1:40] 357 333 404 614 701 ...
## $ MB_Genel_Toplam: num [1:40] 2629 2905 3483 4133 5548 ...MB_Odemeler_subset <- MB_Odemeler[, c("Fatura_ODM", "Vergi_ODM", "SSK_BAGKUR","Kredi_ODM","DİG_ODM","MB_Genel_Toplam")]
MB_Odemeler_ts <- ts(MB_Odemeler_subset)variables <- colnames(MB_Odemeler_ts )
pp_results6 <- lapply(variables, function(var) {
# PP testi
pp_test6 <- ur.pp(MB_Odemeler_ts [, var], type = "Z-tau", model = "constant", lags = "short")
# Ozet
pp_summary6<- summary(pp_test6)
# p-degeri (test istatistiginden)
p_value6 <- pp_summary6@testreg$coefficients[1, 4]
# Sonucları bir liste olarak dondur
list(
variable = var,
summary = pp_summary6,
p_value = p_value6
)
})cat("Phillips-Perron Test Sonucları:\n\n")## Phillips-Perron Test Sonucları:for (result in pp_results6) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
# p-degerlerini ayri bir ozet tablo olarak yazdir
cat("p-Degerleri Ozeti:\n")
p_values <- sapply(pp_results6, function(x) x$p_value)
names(p_values) <- variables
print(p_values)
}## Degisken: Fatura_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -10893.8 -410.5 -355.3 495.5 3348.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 422.32629 415.58023 1.016 0.316
## y.l1 0.83876 0.09048 9.270 3.47e-11 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2080 on 37 degrees of freedom
## Multiple R-squared: 0.699, Adjusted R-squared: 0.6909
## F-statistic: 85.94 on 1 and 37 DF, p-value: 3.472e-11
##
##
## Value of test-statistic, type: Z-tau is: -1.8618
##
## aux. Z statistics
## Z-tau-mu 1.0655
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.316118
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM
## 0.3161180 0.2164077 0.2497238 0.2701944 0.2263846
## MB_Genel_Toplam
## 0.2610410
## Degisken: Vergi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2237.95 -110.63 -92.75 229.14 880.74
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 114.4500 91.0050 1.258 0.216
## y.l1 0.7847 0.1023 7.674 3.65e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 452 on 37 degrees of freedom
## Multiple R-squared: 0.6142, Adjusted R-squared: 0.6037
## F-statistic: 58.89 on 1 and 37 DF, p-value: 3.653e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.0901
##
## aux. Z statistics
## Z-tau-mu 1.2482
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2164077
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM
## 0.3161180 0.2164077 0.2497238 0.2701944 0.2263846
## MB_Genel_Toplam
## 0.2610410
## Degisken: SSK_BAGKUR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2051.45 -88.02 -68.23 140.15 709.77
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 91.5799 78.3141 1.169 0.25
## y.l1 0.7877 0.1011 7.793 2.56e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 407.8 on 37 degrees of freedom
## Multiple R-squared: 0.6214, Adjusted R-squared: 0.6111
## F-statistic: 60.72 on 1 and 37 DF, p-value: 2.561e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.1274
##
## aux. Z statistics
## Z-tau-mu 1.1845
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2497238
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM
## 0.3161180 0.2164077 0.2497238 0.2701944 0.2263846
## MB_Genel_Toplam
## 0.2610410
## Degisken: Kredi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -15562.2 -623.1 -499.6 839.9 5238.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 658.05423 587.87631 1.119 0.27
## y.l1 0.80877 0.09708 8.331 5.19e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2993 on 37 degrees of freedom
## Multiple R-squared: 0.6523, Adjusted R-squared: 0.6429
## F-statistic: 69.41 on 1 and 37 DF, p-value: 5.186e-10
##
##
## Value of test-statistic, type: Z-tau is: -2.0106
##
## aux. Z statistics
## Z-tau-mu 1.1433
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2701944
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM
## 0.3161180 0.2164077 0.2497238 0.2701944 0.2263846
## MB_Genel_Toplam
## 0.2610410
## Degisken: DİG_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1548.78 -83.52 -69.12 171.85 523.94
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 86.1375 70.0188 1.230 0.226
## y.l1 0.7837 0.1037 7.555 5.24e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 335.2 on 37 degrees of freedom
## Multiple R-squared: 0.6067, Adjusted R-squared: 0.5961
## F-statistic: 57.07 on 1 and 37 DF, p-value: 5.237e-09
##
##
## Value of test-statistic, type: Z-tau is: -2.1103
##
## aux. Z statistics
## Z-tau-mu 1.2477
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.2263846
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM
## 0.3161180 0.2164077 0.2497238 0.2701944 0.2263846
## MB_Genel_Toplam
## 0.2610410
## Degisken: MB_Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -37880 -1582 -1328 2839 12477
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.659e+03 1.454e+03 1.141 0.261
## y.l1 8.017e-01 9.876e-02 8.118 9.72e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7382 on 37 degrees of freedom
## Multiple R-squared: 0.6404, Adjusted R-squared: 0.6307
## F-statistic: 65.9 on 1 and 37 DF, p-value: 9.722e-10
##
##
## Value of test-statistic, type: Z-tau is: -2.0328
##
## aux. Z statistics
## Z-tau-mu 1.1563
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.261041
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM
## 0.3161180 0.2164077 0.2497238 0.2701944 0.2263846
## MB_Genel_Toplam
## 0.2610410INTERNET BANKACILIGI ODEMELER
head(ib_odemelerr)## # A tibble: 6 × 7
## Tarih Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DİG_ODM İB_Genel_Toplam
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2015Q1 7011. 15535. 3576. 3295. 2542. 31959.
## 2 2015Q2 7150. 16681. 3870. 3544. 1847. 33092.
## 3 2015Q3 6807. 18248. 4241. 3827. 2229. 35352.
## 4 2015Q4 7371. 19216. 4649. 3991. 2195. 37421.
## 5 2016Q1 7322. 19403. 5067. 3964. 2353. 38110.
## 6 2016Q2 8153. 19393. 5059. 4240. 2262. 39107.str(ib_odemelerr)## tibble [40 × 7] (S3: tbl_df/tbl/data.frame)
## $ Tarih : chr [1:40] "2015Q1" "2015Q2" "2015Q3" "2015Q4" ...
## $ Fatura_ODM : num [1:40] 7011 7150 6807 7371 7322 ...
## $ Vergi_ODM : num [1:40] 15535 16681 18248 19216 19403 ...
## $ SSK_BAGKUR : num [1:40] 3576 3870 4241 4649 5067 ...
## $ Kredi_ODM : num [1:40] 3295 3544 3827 3991 3964 ...
## $ DİG_ODM : num [1:40] 2542 1847 2229 2195 2353 ...
## $ İB_Genel_Toplam: num [1:40] 31959 33092 35352 37421 38110 ...colnames(ib_odemelerr) <- c("Tarih","Fatura_ODM", "Vergi_ODM", "SSK_BAGKUR", "Kredi_ODM", "DIG_ODM", "IB_Genel_Toplam")colnames(ib_odemelerr)## [1] "Tarih" "Fatura_ODM" "Vergi_ODM" "SSK_BAGKUR"
## [5] "Kredi_ODM" "DIG_ODM" "IB_Genel_Toplam"ib_odemelerr_subset <- ib_odemelerr[, c("Fatura_ODM", "Vergi_ODM", "SSK_BAGKUR", "Kredi_ODM", "DIG_ODM", "IB_Genel_Toplam")]ib_odemelerr_ts <- ts(ib_odemelerr_subset, start = c(2015, 1), frequency = 4)variables <- colnames(ib_odemelerr_ts)
pp_results7 <- lapply(variables, function(var) {
# PP testi
pp_test7 <- ur.pp(ib_odemelerr_ts[, var], type = "Z-tau", model = "constant", lags = "short")
# Ozet
pp_summary7<- summary(pp_test7)
# p-degeri (test istatistiginden)
p_value7 <- pp_summary7@testreg$coefficients[1, 4]
# Sonucları bir liste olarak dondur
list(
variable = var,
summary = pp_summary7,
p_value = p_value7
)
})cat("Phillips-Perron Test Sonucları:\n\n")## Phillips-Perron Test Sonucları:for (result in pp_results7) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
# p-degerlerini ayri bir ozet tablo olarak yazdir
cat("p-Degerleri Ozeti:\n")
p_values <- sapply(pp_results7, function(x) x$p_value)
names(p_values) <- variables
print(p_values)
}## Degisken: Fatura_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -10631.0 -183.5 -177.3 898.9 2293.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 185.40515 448.90770 0.413 0.682
## y.l1 0.92372 0.06668 13.854 3.22e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1982 on 37 degrees of freedom
## Multiple R-squared: 0.8384, Adjusted R-squared: 0.834
## F-statistic: 191.9 on 1 and 37 DF, p-value: 3.223e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.0264
##
## aux. Z statistics
## Z-tau-mu 0.2966
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6819802
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DIG_ODM
## 0.6819802 0.7602721 0.5323837 0.4806445 0.4006469
## IB_Genel_Toplam
## 0.6509797
## Degisken: Vergi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -24853.2 -300.7 -246.7 1610.2 3924.5
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 305.09256 992.53432 0.307 0.76
## y.l1 0.93974 0.06094 15.422 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4368 on 37 degrees of freedom
## Multiple R-squared: 0.8654, Adjusted R-squared: 0.8617
## F-statistic: 237.8 on 1 and 37 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -0.9483
##
## aux. Z statistics
## Z-tau-mu 0.2672
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.7602721
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DIG_ODM
## 0.6819802 0.7602721 0.5323837 0.4806445 0.4006469
## IB_Genel_Toplam
## 0.6509797
## Degisken: SSK_BAGKUR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -7859.9 -212.2 -200.1 394.3 3161.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 214.30174 340.00927 0.63 0.532
## y.l1 0.90483 0.07403 12.22 1.48e-14 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1527 on 37 degrees of freedom
## Multiple R-squared: 0.8015, Adjusted R-squared: 0.7961
## F-statistic: 149.4 on 1 and 37 DF, p-value: 1.475e-14
##
##
## Value of test-statistic, type: Z-tau is: -1.2271
##
## aux. Z statistics
## Z-tau-mu 0.5805
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.5323837
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DIG_ODM
## 0.6819802 0.7602721 0.5323837 0.4806445 0.4006469
## IB_Genel_Toplam
## 0.6509797
## Degisken: Kredi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6540.9 -189.3 -175.1 466.3 2259.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 193.66091 271.81728 0.712 0.481
## y.l1 0.88508 0.07992 11.075 2.64e-13 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1200 on 37 degrees of freedom
## Multiple R-squared: 0.7682, Adjusted R-squared: 0.762
## F-statistic: 122.7 on 1 and 37 DF, p-value: 2.642e-13
##
##
## Value of test-statistic, type: Z-tau is: -1.2846
##
## aux. Z statistics
## Z-tau-mu 0.5761
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.4806445
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DIG_ODM
## 0.6819802 0.7602721 0.5323837 0.4806445 0.4006469
## IB_Genel_Toplam
## 0.6509797
## Degisken: DIG_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -7187.5 -232.9 -206.8 501.0 2106.4
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 241.49269 284.02071 0.850 0.401
## y.l1 0.85780 0.08684 9.877 6.41e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1347 on 37 degrees of freedom
## Multiple R-squared: 0.725, Adjusted R-squared: 0.7176
## F-statistic: 97.56 on 1 and 37 DF, p-value: 6.414e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.6493
##
## aux. Z statistics
## Z-tau-mu 0.8593
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.4006469
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DIG_ODM
## 0.6819802 0.7602721 0.5323837 0.4806445 0.4006469
## IB_Genel_Toplam
## 0.6509797
## Degisken: IB_Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -58036 -1024 -943 3729 11001
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.057e+03 2.318e+03 0.456 0.651
## y.l1 9.234e-01 6.733e-02 13.715 4.41e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 10260 on 37 degrees of freedom
## Multiple R-squared: 0.8356, Adjusted R-squared: 0.8312
## F-statistic: 188.1 on 1 and 37 DF, p-value: 4.407e-16
##
##
## Value of test-statistic, type: Z-tau is: -1.0833
##
## aux. Z statistics
## Z-tau-mu 0.4052
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.606551 -2.937802 -2.606917
##
## p-degeri: 0.6509797
##
## p-Degerleri Ozeti:
## Fatura_ODM Vergi_ODM SSK_BAGKUR Kredi_ODM DIG_ODM
## 0.6819802 0.7602721 0.5323837 0.4806445 0.4006469
## IB_Genel_Toplam
## 0.6509797Phillips Peron Testi Tüm değişkenlerin Birinci Farkları
TOPLAM AKTIFLER PHILLIPS PERON TESTI BIRINCI FARK SONUCLARI
TA_ts_diff <- diff(TA_ts, differences = 1)start_date_diff <- c(2015, 2)
TA_ts_diff <- ts(TA_ts_diff, start = start_date_diff, frequency = 4)variables <- colnames(TA_ts_diff)
pp_results1_diff <- lapply(variables, function(var) {
# PP testi
pp_test1<- ur.pp(TA_ts_diff[, var], type = "Z-tau", model = "constant", lags = "short")
pp_summary1 <- summary(pp_test1)
p_value1 <- pp_summary1@testreg$coefficients[1, 4]
list(
variable = var,
summary = pp_summary1,
p_value = p_value1
)
})cat("Phillips-Perron Test Sonuclari (Birinci Fark):\n\n")## Phillips-Perron Test Sonuclari (Birinci Fark):for (result in pp_results1_diff) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
}## Degisken: TP
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1082337 -67391 -24712 103997 514161
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.706e+04 5.562e+04 1.026 0.312
## y.l1 8.686e-01 8.197e-02 10.597 1.29e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 268100 on 36 degrees of freedom
## Multiple R-squared: 0.7572, Adjusted R-squared: 0.7505
## F-statistic: 112.3 on 1 and 36 DF, p-value: 1.292e-12
##
##
## Value of test-statistic, type: Z-tau is: -1.645
##
## aux. Z statistics
## Z-tau-mu 1.0515
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.3117756
##
## Degisken: YP
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1326835 -198227 -128817 137360 1444350
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.216e+05 9.131e+04 2.427 0.0204 *
## y.l1 3.858e-02 1.871e-01 0.206 0.8378
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 475600 on 36 degrees of freedom
## Multiple R-squared: 0.00118, Adjusted R-squared: -0.02657
## F-statistic: 0.04252 on 1 and 36 DF, p-value: 0.8378
##
##
## Value of test-statistic, type: Z-tau is: -5.2643
##
## aux. Z statistics
## Z-tau-mu 2.471
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.02036167
##
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2636525 -218077 -61368 140094 1903270
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.085e+05 1.461e+05 1.427 0.162
## y.l1 6.545e-01 1.354e-01 4.833 2.5e-05 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 696300 on 36 degrees of freedom
## Multiple R-squared: 0.3935, Adjusted R-squared: 0.3766
## F-statistic: 23.35 on 1 and 36 DF, p-value: 2.503e-05
##
##
## Value of test-statistic, type: Z-tau is: -2.5088
##
## aux. Z statistics
## Z-tau-mu 1.3997
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.1621991MOBIL BANKACILIK PARA TRANSFERLERI PHILLIPS PERON TESTI BIRINCI FARK SONUCLARI
MobillBnk_PT_ts_diff <- diff(MobillBnk_PT_ts, differences = 1)start_date_diff <- c(2015, 2)
MobillBnk_PT_ts_diff <- ts(MobillBnk_PT_ts_diff, start = start_date_diff, frequency = 4)variables <- colnames(MobillBnk_PT_ts_diff)
pp_results2_diff <- lapply(variables, function(var) {
# PP testi
pp_test2<- ur.pp(MobillBnk_PT_ts_diff[, var], type = "Z-tau", model = "constant", lags = "short")
pp_summary2 <- summary(pp_test2)
p_value2 <- pp_summary2@testreg$coefficients[1, 4]
list(
variable = var,
summary = pp_summary2,
p_value = p_value2
)
})cat("Phillips-Perron Test Sonuclari (Birinci Fark):\n\n")## Phillips-Perron Test Sonuclari (Birinci Fark):for (result in pp_results2_diff) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
}## Degisken: EFT
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -482221 1324 3013 19889 100176
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -677.2600 13819.1677 -0.049 0.961
## y.l1 -0.1203 0.1654 -0.727 0.472
##
## Residual standard error: 85190 on 36 degrees of freedom
## Multiple R-squared: 0.01447, Adjusted R-squared: -0.01291
## F-statistic: 0.5284 on 1 and 36 DF, p-value: 0.472
##
##
## Value of test-statistic, type: Z-tau is: -6.8545
##
## aux. Z statistics
## Z-tau-mu -0.0495
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9611832
##
## Degisken: KH_A_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -106871 199 418 2876 19426
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -138.7989 3099.6856 -0.045 0.965
## y.l1 -0.1021 0.1658 -0.616 0.542
##
## Residual standard error: 19110 on 36 degrees of freedom
## Multiple R-squared: 0.01042, Adjusted R-squared: -0.01707
## F-statistic: 0.3792 on 1 and 36 DF, p-value: 0.5419
##
##
## Value of test-statistic, type: Z-tau is: -6.7137
##
## aux. Z statistics
## Z-tau-mu -0.0451
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9645314
##
## Degisken: KH_A_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -3567.3 5.1 19.0 97.3 1070.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -5.02785 107.82763 -0.047 0.963
## y.l1 0.02713 0.16657 0.163 0.872
##
## Residual standard error: 664.7 on 36 degrees of freedom
## Multiple R-squared: 0.0007366, Adjusted R-squared: -0.02702
## F-statistic: 0.02654 on 1 and 36 DF, p-value: 0.8715
##
##
## Value of test-statistic, type: Z-tau is: -5.8323
##
## aux. Z statistics
## Z-tau-mu -0.0466
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.963067
##
## Degisken: KH_A_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -110542 209 400 2905 19485
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -143.73468 3202.65589 -0.045 0.964
## y.l1 -0.09716 0.16586 -0.586 0.562
##
## Residual standard error: 19740 on 36 degrees of freedom
## Multiple R-squared: 0.009442, Adjusted R-squared: -0.01807
## F-statistic: 0.3431 on 1 and 36 DF, p-value: 0.5617
##
##
## Value of test-statistic, type: Z-tau is: -6.6752
##
## aux. Z statistics
## Z-tau-mu -0.0452
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9644511
##
## Degisken: U_S_Y_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -242998 619 1193 9663 68346
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -492.9754 7306.7560 -0.067 0.947
## y.l1 -0.1659 0.1643 -1.009 0.320
##
## Residual standard error: 45040 on 36 degrees of freedom
## Multiple R-squared: 0.02752, Adjusted R-squared: 0.0005085
## F-statistic: 1.019 on 1 and 36 DF, p-value: 0.3195
##
##
## Value of test-statistic, type: Z-tau is: -7.2027
##
## aux. Z statistics
## Z-tau-mu -0.0684
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9465821
##
## Degisken: U_S_Y_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19185.7 37.9 65.6 879.9 3521.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -29.636647 540.321990 -0.055 0.957
## y.l1 0.004825 0.166635 0.029 0.977
##
## Residual standard error: 3331 on 36 degrees of freedom
## Multiple R-squared: 2.329e-05, Adjusted R-squared: -0.02775
## F-statistic: 0.0008384 on 1 and 36 DF, p-value: 0.9771
##
##
## Value of test-statistic, type: Z-tau is: -5.9691
##
## aux. Z statistics
## Z-tau-mu -0.0548
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9565613
##
## Degisken: U_S_Y_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -262651 656 1260 10159 69334
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -521.3270 7822.7932 -0.067 0.947
## y.l1 -0.1530 0.1647 -0.929 0.359
##
## Residual standard error: 48220 on 36 degrees of freedom
## Multiple R-squared: 0.02341, Adjusted R-squared: -0.003718
## F-statistic: 0.863 on 1 and 36 DF, p-value: 0.3591
##
##
## Value of test-statistic, type: Z-tau is: -7.0929
##
## aux. Z statistics
## Z-tau-mu -0.0674
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9472354
##
## Degisken: HA_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -373385 836 1605 13240 84985
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -662.0746 10994.3446 -0.060 0.952
## y.l1 -0.1352 0.1651 -0.819 0.418
##
## Residual standard error: 67770 on 36 degrees of freedom
## Multiple R-squared: 0.01829, Adjusted R-squared: -0.008979
## F-statistic: 0.6707 on 1 and 36 DF, p-value: 0.4182
##
##
## Value of test-statistic, type: Z-tau is: -6.9573
##
## aux. Z statistics
## Z-tau-mu -0.0608
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9523138
##
## Degisken: Dov_TR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2276.08 1.25 8.48 98.04 532.20
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.09127 67.24428 0.001 0.999
## y.l1 -0.06715 0.16627 -0.404 0.689
##
## Residual standard error: 414.5 on 36 degrees of freedom
## Multiple R-squared: 0.00451, Adjusted R-squared: -0.02314
## F-statistic: 0.1631 on 1 and 36 DF, p-value: 0.6887
##
##
## Value of test-statistic, type: Z-tau is: -6.4758
##
## aux. Z statistics
## Z-tau-mu 0.0014
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9989246
##
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -858918 1882 3962 32382 172209
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1331.9486 24692.7187 -0.054 0.957
## y.l1 -0.1200 0.1654 -0.725 0.473
##
## Residual standard error: 152200 on 36 degrees of freedom
## Multiple R-squared: 0.01439, Adjusted R-squared: -0.01299
## F-statistic: 0.5257 on 1 and 36 DF, p-value: 0.4731
##
##
## Value of test-statistic, type: Z-tau is: -6.8472
##
## aux. Z statistics
## Z-tau-mu -0.0545
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9572805INTERNET BANKACILIGI PARA TRANSFERLERI PHILLIPS PERON TESTI BIRINCI FARK SONUCLARI
ibPT_ts_diff <- diff(ibPT_ts, differences = 1)start_date_diff <- c(2015, 2)
ibPT_ts_diff <- ts(ibPT_ts_diff, start = start_date_diff, frequency = 4)variables <- colnames(ibPT_ts_diff)
pp_results3_diff <- lapply(variables, function(var) {
# PP testi
pp_test3<- ur.pp(ibPT_ts_diff[, var], type = "Z-tau", model = "constant", lags = "short")
pp_summary3 <- summary(pp_test3)
p_value3 <- pp_summary3@testreg$coefficients[1, 4]
list(
variable = var,
summary = pp_summary3,
p_value = p_value3
)
})cat("Phillips-Perron Test Sonuclari (Birinci Fark):\n\n")## Phillips-Perron Test Sonuclari (Birinci Fark):for (result in pp_results3_diff) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
}## Degisken: EFT
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -498229 7843 8061 17497 92420
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -7827.3208 14341.2338 -0.546 0.589
## y.l1 -0.1205 0.1652 -0.730 0.470
##
## Residual standard error: 88160 on 36 degrees of freedom
## Multiple R-squared: 0.01457, Adjusted R-squared: -0.01281
## F-statistic: 0.5322 on 1 and 36 DF, p-value: 0.4704
##
##
## Value of test-statistic, type: Z-tau is: -6.798
##
## aux. Z statistics
## Z-tau-mu -0.5471
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5885758
##
## Degisken: K_H_A_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -225786 2980 3151 6768 46309
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2951.0354 6550.6363 -0.450 0.655
## y.l1 -0.1533 0.1645 -0.932 0.357
##
## Residual standard error: 40310 on 36 degrees of freedom
## Multiple R-squared: 0.02358, Adjusted R-squared: -0.00354
## F-statistic: 0.8695 on 1 and 36 DF, p-value: 0.3573
##
##
## Value of test-statistic, type: Z-tau is: -6.9884
##
## aux. Z statistics
## Z-tau-mu -0.4491
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6550544
##
## Degisken: K_H_A_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18888.2 -125.4 206.2 229.7 22102.7
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -203.76485 896.08427 -0.227 0.821
## y.l1 0.04073 0.16629 0.245 0.808
##
## Residual standard error: 5521 on 36 degrees of freedom
## Multiple R-squared: 0.001664, Adjusted R-squared: -0.02607
## F-statistic: 0.06 on 1 and 36 DF, p-value: 0.8079
##
##
## Value of test-statistic, type: Z-tau is: -5.7875
##
## aux. Z statistics
## Z-tau-mu -0.2281
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8214033
##
## Degisken: K_H_A_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -246387 3130 3261 7410 52170
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3120.4735 7133.5548 -0.437 0.664
## y.l1 -0.1263 0.1651 -0.765 0.449
##
## Residual standard error: 43900 on 36 degrees of freedom
## Multiple R-squared: 0.01601, Adjusted R-squared: -0.01132
## F-statistic: 0.5857 on 1 and 36 DF, p-value: 0.4491
##
##
## Value of test-statistic, type: Z-tau is: -6.8008
##
## aux. Z statistics
## Z-tau-mu -0.4362
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6644083
##
## Degisken: U_S_Y_TP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -212698 3090 3267 8584 49413
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3078.3654 6364.1189 -0.484 0.632
## y.l1 -0.1266 0.1650 -0.767 0.448
##
## Residual standard error: 39150 on 36 degrees of freedom
## Multiple R-squared: 0.0161, Adjusted R-squared: -0.01123
## F-statistic: 0.589 on 1 and 36 DF, p-value: 0.4478
##
##
## Value of test-statistic, type: Z-tau is: -6.8492
##
## aux. Z statistics
## Z-tau-mu -0.4851
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6315236
##
## Degisken: U_S_Y_YP_HA
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -39767 514 541 1176 5263
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -527.02543 1128.13793 -0.467 0.643
## y.l1 -0.06812 0.16584 -0.411 0.684
##
## Residual standard error: 6940 on 36 degrees of freedom
## Multiple R-squared: 0.004664, Adjusted R-squared: -0.02298
## F-statistic: 0.1687 on 1 and 36 DF, p-value: 0.6837
##
##
## Value of test-statistic, type: Z-tau is: -6.4491
##
## aux. Z statistics
## Z-tau-mu -0.4677
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6431979
##
## Degisken: U_S_Y_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -252512 3640 3775 8896 53350
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -3607.3761 7436.9379 -0.485 0.631
## y.l1 -0.1187 0.1652 -0.718 0.477
##
## Residual standard error: 45750 on 36 degrees of freedom
## Multiple R-squared: 0.01413, Adjusted R-squared: -0.01325
## F-statistic: 0.5161 on 1 and 36 DF, p-value: 0.4772
##
##
## Value of test-statistic, type: Z-tau is: -6.791
##
## aux. Z statistics
## Z-tau-mu -0.4862
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6305711
##
## Degisken: HA_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -499339 6753 7089 18108 79200
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -6695.9980 14395.5597 -0.465 0.645
## y.l1 -0.1163 0.1652 -0.704 0.486
##
## Residual standard error: 88570 on 36 degrees of freedom
## Multiple R-squared: 0.01357, Adjusted R-squared: -0.01383
## F-statistic: 0.4952 on 1 and 36 DF, p-value: 0.4861
##
##
## Value of test-statistic, type: Z-tau is: -6.7513
##
## aux. Z statistics
## Z-tau-mu -0.4649
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6446303
##
## Degisken: DOv_TR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -38707 153 225 1111 7757
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.971e+02 1.125e+03 -0.175 0.862
## y.l1 -7.242e-03 1.667e-01 -0.043 0.966
##
## Residual standard error: 6930 on 36 degrees of freedom
## Multiple R-squared: 5.246e-05, Adjusted R-squared: -0.02772
## F-statistic: 0.001889 on 1 and 36 DF, p-value: 0.9656
##
##
## Value of test-statistic, type: Z-tau is: -6.0492
##
## aux. Z statistics
## Z-tau-mu -0.1754
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8618561
##
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1037084 14804 15398 30696 179158
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.466e+04 2.969e+04 -0.494 0.624
## y.l1 -1.123e-01 1.654e-01 -0.679 0.502
##
## Residual standard error: 182600 on 36 degrees of freedom
## Multiple R-squared: 0.01264, Adjusted R-squared: -0.01479
## F-statistic: 0.4608 on 1 and 36 DF, p-value: 0.5016
##
##
## Value of test-statistic, type: Z-tau is: -6.7283
##
## aux. Z statistics
## Z-tau-mu -0.4941
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.624327MOBİL BANKACILIK YATIRIMLAR PHILLIPS PERON TESTI BIRINCI FARK SONUCLARI
MB_Yatirimlar_ts_diff <- diff(MB_Yatirimlar_ts, differences = 1)start_date_diff <- c(2015, 2)
MB_Yatirimlar_ts_diff <- ts(MB_Yatirimlar_ts_diff, start = start_date_diff, frequency = 4)variables <- colnames(MB_Yatirimlar_ts_diff)
pp_results4_diff <- lapply(variables, function(var) {
# PP testi
pp_test4<- ur.pp(MB_Yatirimlar_ts_diff[, var], type = "Z-tau", model = "constant", lags = "short")
pp_summary4 <- summary(pp_test4)
p_value4 <- pp_summary4@testreg$coefficients[1, 4]
list(
variable = var,
summary = pp_summary4,
p_value = p_value4
)
})cat("Phillips-Perron Test Sonuclari (Birinci Fark):\n\n")## Phillips-Perron Test Sonuclari (Birinci Fark):for (result in pp_results4_diff) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
}## Degisken: YFon_AL
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -30173.0 29.7 426.2 1177.4 9166.4
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -27.4088 932.8740 -0.029 0.977
## y.l1 -0.1580 0.1646 -0.960 0.343
##
## Residual standard error: 5751 on 36 degrees of freedom
## Multiple R-squared: 0.02497, Adjusted R-squared: -0.002112
## F-statistic: 0.922 on 1 and 36 DF, p-value: 0.3433
##
##
## Value of test-statistic, type: Z-tau is: -7.2353
##
## aux. Z statistics
## Z-tau-mu -0.0303
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.976723
##
## Degisken: YFon_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -30090.6 41.6 391.9 1227.0 7807.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -35.4732 959.8482 -0.037 0.971
## y.l1 -0.1250 0.1654 -0.756 0.455
##
## Residual standard error: 5917 on 36 degrees of freedom
## Multiple R-squared: 0.01561, Adjusted R-squared: -0.01173
## F-statistic: 0.571 on 1 and 36 DF, p-value: 0.4548
##
##
## Value of test-statistic, type: Z-tau is: -6.9741
##
## aux. Z statistics
## Z-tau-mu -0.0379
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9707234
##
## Degisken: YFon_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -60283 71 816 2356 16982
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -62.9620 1888.4725 -0.033 0.974
## y.l1 -0.1416 0.1650 -0.858 0.396
##
## Residual standard error: 11640 on 36 degrees of freedom
## Multiple R-squared: 0.02005, Adjusted R-squared: -0.007173
## F-statistic: 0.7365 on 1 and 36 DF, p-value: 0.3965
##
##
## Value of test-statistic, type: Z-tau is: -7.105
##
## aux. Z statistics
## Z-tau-mu -0.0343
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9735875
##
## Degisken: Dov_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -43593 -1051 144 1072 40047
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -149.3219 1914.8192 -0.078 0.938
## y.l1 -0.1346 0.1651 -0.816 0.420
##
## Residual standard error: 11800 on 36 degrees of freedom
## Multiple R-squared: 0.01814, Adjusted R-squared: -0.00913
## F-statistic: 0.6653 on 1 and 36 DF, p-value: 0.4201
##
##
## Value of test-statistic, type: Z-tau is: -7.0739
##
## aux. Z statistics
## Z-tau-mu -0.0797
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.938274
##
## Degisken: Dov_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -46135 -202 199 2073 32615
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -174.37527 2262.86493 -0.077 0.939
## y.l1 -0.03479 0.16654 -0.209 0.836
##
## Residual standard error: 13950 on 36 degrees of freedom
## Multiple R-squared: 0.001211, Adjusted R-squared: -0.02653
## F-statistic: 0.04365 on 1 and 36 DF, p-value: 0.8357
##
##
## Value of test-statistic, type: Z-tau is: -6.3307
##
## aux. Z statistics
## Z-tau-mu -0.0784
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9390029
##
## Degisken: Arbitraj
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2321.63 -1.94 10.04 151.86 870.81
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -6.2966 73.1081 -0.086 0.932
## y.l1 0.1202 0.1653 0.727 0.472
##
## Residual standard error: 450.7 on 36 degrees of freedom
## Multiple R-squared: 0.01448, Adjusted R-squared: -0.0129
## F-statistic: 0.5288 on 1 and 36 DF, p-value: 0.4718
##
##
## Value of test-statistic, type: Z-tau is: -5.31
##
## aux. Z statistics
## Z-tau-mu -0.086
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9318422
##
## Degisken: Dov_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -88296 -3406 344 2319 73429
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -327.82122 4083.65292 -0.080 0.936
## y.l1 -0.06089 0.16630 -0.366 0.716
##
## Residual standard error: 25170 on 36 degrees of freedom
## Multiple R-squared: 0.00371, Adjusted R-squared: -0.02396
## F-statistic: 0.1341 on 1 and 36 DF, p-value: 0.7164
##
##
## Value of test-statistic, type: Z-tau is: -6.492
##
## aux. Z statistics
## Z-tau-mu -0.0815
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.936462
##
## Degisken: Vad_Hes_AC
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -75546 145 393 2954 15330
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -128.89405 2211.57025 -0.058 0.954
## y.l1 -0.05589 0.16639 -0.336 0.739
##
## Residual standard error: 13630 on 36 degrees of freedom
## Multiple R-squared: 0.003125, Adjusted R-squared: -0.02457
## F-statistic: 0.1128 on 1 and 36 DF, p-value: 0.7389
##
##
## Value of test-statistic, type: Z-tau is: -6.3552
##
## aux. Z statistics
## Z-tau-mu -0.0584
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9538466
##
## Degisken: Vad_Hes_Kap
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -65352 80 257 2293 17181
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -76.71492 1936.60959 -0.040 0.969
## y.l1 -0.08073 0.16611 -0.486 0.630
##
## Residual standard error: 11940 on 36 degrees of freedom
## Multiple R-squared: 0.006518, Adjusted R-squared: -0.02108
## F-statistic: 0.2362 on 1 and 36 DF, p-value: 0.6299
##
##
## Value of test-statistic, type: Z-tau is: -6.5329
##
## aux. Z statistics
## Z-tau-mu -0.0397
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9686205
##
## Degisken: Vad_Hes_Top
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -140920 218 641 6051 32486
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -206.16469 4140.60658 -0.050 0.961
## y.l1 -0.06766 0.16627 -0.407 0.686
##
## Residual standard error: 25520 on 36 degrees of freedom
## Multiple R-squared: 0.004579, Adjusted R-squared: -0.02307
## F-statistic: 0.1656 on 1 and 36 DF, p-value: 0.6865
##
##
## Value of test-statistic, type: Z-tau is: -6.4373
##
## aux. Z statistics
## Z-tau-mu -0.0499
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9605642
##
## Degisken: Repo
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -968.75 4.11 6.30 63.96 271.57
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -5.1956 30.7938 -0.169 0.867
## y.l1 -0.1714 0.1641 -1.044 0.303
##
## Residual standard error: 189.8 on 36 degrees of freedom
## Multiple R-squared: 0.0294, Adjusted R-squared: 0.002436
## F-statistic: 1.09 on 1 and 36 DF, p-value: 0.3034
##
##
## Value of test-statistic, type: Z-tau is: -7.2999
##
## aux. Z statistics
## Z-tau-mu -0.1721
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8669598
##
## Degisken: Ger_Hiss_Sen
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -163409 -61 479 9229 90490
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -238.5369 6792.0504 -0.035 0.972
## y.l1 -0.1297 0.1653 -0.785 0.437
##
## Residual standard error: 41870 on 36 degrees of freedom
## Multiple R-squared: 0.01684, Adjusted R-squared: -0.01047
## F-statistic: 0.6165 on 1 and 36 DF, p-value: 0.4375
##
##
## Value of test-statistic, type: Z-tau is: -6.9723
##
## aux. Z statistics
## Z-tau-mu -0.0357
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9721781
##
## Degisken: Tahvil_Bono_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1225.25 -16.55 3.56 26.44 2355.81
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.2797 81.9937 0.003 0.997
## y.l1 -0.2488 0.1614 -1.541 0.132
##
## Residual standard error: 505.4 on 36 degrees of freedom
## Multiple R-squared: 0.06188, Adjusted R-squared: 0.03583
## F-statistic: 2.375 on 1 and 36 DF, p-value: 0.1321
##
##
## Value of test-statistic, type: Z-tau is: -8.0157
##
## aux. Z statistics
## Z-tau-mu 0.0036
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.997297
##
## Degisken: Tahvil_Bono_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1153.22 -1.57 4.18 12.88 2269.31
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.0757 79.2154 0.014 0.989
## y.l1 -0.1861 0.1638 -1.137 0.263
##
## Residual standard error: 488.3 on 36 degrees of freedom
## Multiple R-squared: 0.03465, Adjusted R-squared: 0.007831
## F-statistic: 1.292 on 1 and 36 DF, p-value: 0.2632
##
##
## Value of test-statistic, type: Z-tau is: -7.5636
##
## aux. Z statistics
## Z-tau-mu 0.0142
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9892408
##
## Degisken: Tahvil_Bono_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2377.3 -2.8 9.6 40.7 4622.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.3736 160.5927 0.009 0.993
## y.l1 -0.2180 0.1627 -1.340 0.189
##
## Residual standard error: 990 on 36 degrees of freedom
## Multiple R-squared: 0.04752, Adjusted R-squared: 0.02106
## F-statistic: 1.796 on 1 and 36 DF, p-value: 0.1886
##
##
## Value of test-statistic, type: Z-tau is: -7.796
##
## aux. Z statistics
## Z-tau-mu 0.0089
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9932228
##
## Degisken: Altin_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -12004.2 -23.4 21.7 473.8 7430.5
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2.3640 479.3438 -0.005 0.996
## y.l1 -0.1038 0.1658 -0.626 0.535
##
## Residual standard error: 2955 on 36 degrees of freedom
## Multiple R-squared: 0.01077, Adjusted R-squared: -0.0167
## F-statistic: 0.3921 on 1 and 36 DF, p-value: 0.5351
##
##
## Value of test-statistic, type: Z-tau is: -6.873
##
## aux. Z statistics
## Z-tau-mu -0.0052
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9960923
##
## Degisken: Altin_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -9529.3 -127.5 7.9 586.5 5180.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2.9092 423.9538 -0.007 0.995
## y.l1 -0.1554 0.1646 -0.944 0.352
##
## Residual standard error: 2613 on 36 degrees of freedom
## Multiple R-squared: 0.02415, Adjusted R-squared: -0.002962
## F-statistic: 0.8907 on 1 and 36 DF, p-value: 0.3516
##
##
## Value of test-statistic, type: Z-tau is: -7.2869
##
## aux. Z statistics
## Z-tau-mu -0.0075
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9945628
##
## Degisken: Altin_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -21624.4 -64.1 19.4 1230.6 12017.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -4.74119 878.57582 -0.005 0.996
## y.l1 -0.09475 0.16591 -0.571 0.571
##
## Residual standard error: 5416 on 36 degrees of freedom
## Multiple R-squared: 0.008979, Adjusted R-squared: -0.01855
## F-statistic: 0.3262 on 1 and 36 DF, p-value: 0.5715
##
##
## Value of test-statistic, type: Z-tau is: -6.7899
##
## aux. Z statistics
## Z-tau-mu -0.0057
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9957241
##
## Degisken: VOB_İsl
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -26988.9 68.3 120.5 1253.7 7946.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -90.46906 807.42690 -0.112 0.911
## y.l1 0.04729 0.16604 0.285 0.777
##
## Residual standard error: 4977 on 36 degrees of freedom
## Multiple R-squared: 0.002248, Adjusted R-squared: -0.02547
## F-statistic: 0.08112 on 1 and 36 DF, p-value: 0.7774
##
##
## Value of test-statistic, type: Z-tau is: -5.7642
##
## aux. Z statistics
## Z-tau-mu -0.1132
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9114093
##
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -444207 994 3255 24756 127676
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -960.9873 15871.1335 -0.061 0.952
## y.l1 -0.1225 0.1654 -0.741 0.464
##
## Residual standard error: 97830 on 36 degrees of freedom
## Multiple R-squared: 0.015, Adjusted R-squared: -0.01236
## F-statistic: 0.5484 on 1 and 36 DF, p-value: 0.4638
##
##
## Value of test-statistic, type: Z-tau is: -6.8712
##
## aux. Z statistics
## Z-tau-mu -0.0612
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.952053INTERNET BANKACILIGI YATIRIMLAR PHILLIPS PERON TESTI BIRINCI FARK SONUCLARI
ib_yatirimlar_ts_diff <- diff(ib_yatirimlar_ts, differences = 1)start_date_diff <- c(2015, 2)
ib_yatirimlar_ts_diff <- ts(ib_yatirimlar_ts_diff, start = start_date_diff, frequency = 4)variables <- colnames(ib_yatirimlar_ts_diff)
pp_results5_diff <- lapply(variables, function(var) {
# PP testi
pp_test5 <- ur.pp(ib_yatirimlar_ts_diff[, var], type = "Z-tau", model = "constant", lags = "short")
pp_summary5 <- summary(pp_test5)
p_value5 <- pp_summary5@testreg$coefficients[1, 4]
list(
variable = var,
summary = pp_summary5,
p_value = p_value5
)
})cat("Phillips-Perron Test Sonuclari (Birinci Fark):\n\n")## Phillips-Perron Test Sonuclari (Birinci Fark):for (result in pp_results5_diff) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
}## Degisken: YFon_AL
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -29184.0 365.3 422.7 1360.3 6385.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -367.5232 844.1598 -0.435 0.666
## y.l1 -0.1620 0.1645 -0.985 0.331
##
## Residual standard error: 5193 on 36 degrees of freedom
## Multiple R-squared: 0.02625, Adjusted R-squared: -0.0007984
## F-statistic: 0.9705 on 1 and 36 DF, p-value: 0.3311
##
##
## Value of test-statistic, type: Z-tau is: -7.1714
##
## aux. Z statistics
## Z-tau-mu -0.4422
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6658919
##
## Degisken: YFon_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -28425.5 395.8 433.1 1162.0 5192.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -399.7011 822.1132 -0.486 0.630
## y.l1 -0.1358 0.1651 -0.822 0.416
##
## Residual standard error: 5054 on 36 degrees of freedom
## Multiple R-squared: 0.01842, Adjusted R-squared: -0.008841
## F-statistic: 0.6757 on 1 and 36 DF, p-value: 0.4165
##
##
## Value of test-statistic, type: Z-tau is: -6.9787
##
## aux. Z statistics
## Z-tau-mu -0.4935
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6297809
##
## Degisken: YFon_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -57625 763 878 2616 11570
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -767.5363 1663.5176 -0.461 0.647
## y.l1 -0.1488 0.1648 -0.903 0.373
##
## Residual standard error: 10230 on 36 degrees of freedom
## Multiple R-squared: 0.02213, Adjusted R-squared: -0.005033
## F-statistic: 0.8147 on 1 and 36 DF, p-value: 0.3727
##
##
## Value of test-statistic, type: Z-tau is: -7.0722
##
## aux. Z statistics
## Z-tau-mu -0.4684
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6472921
##
## Degisken: Dov_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18664.8 -87.0 481.4 501.5 13522.5
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -483.8112 783.4697 -0.618 0.541
## y.l1 -0.1336 0.1640 -0.815 0.421
##
## Residual standard error: 4816 on 36 degrees of freedom
## Multiple R-squared: 0.0181, Adjusted R-squared: -0.009175
## F-statistic: 0.6636 on 1 and 36 DF, p-value: 0.4206
##
##
## Value of test-statistic, type: Z-tau is: -6.9238
##
## aux. Z statistics
## Z-tau-mu -0.6185
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5407761
##
## Degisken: Dov_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -34847 -214 592 626 10563
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -591.2615 1121.6297 -0.527 0.601
## y.l1 -0.0437 0.1661 -0.263 0.794
##
## Residual standard error: 6895 on 36 degrees of freedom
## Multiple R-squared: 0.001919, Adjusted R-squared: -0.02581
## F-statistic: 0.06923 on 1 and 36 DF, p-value: 0.794
##
##
## Value of test-statistic, type: Z-tau is: -6.286
##
## aux. Z statistics
## Z-tau-mu -0.5272
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6013266
##
## Degisken: Arbitraj
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -12543.8 117.6 130.1 288.1 3859.4
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -128.1277 387.9999 -0.330 0.743
## y.l1 -0.2123 0.1626 -1.306 0.200
##
## Residual standard error: 2390 on 36 degrees of freedom
## Multiple R-squared: 0.04523, Adjusted R-squared: 0.01871
## F-statistic: 1.706 on 1 and 36 DF, p-value: 0.1999
##
##
## Value of test-statistic, type: Z-tau is: -7.4309
##
## aux. Z statistics
## Z-tau-mu -0.3293
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.7431432
##
## Degisken: Dov_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -66318 -159 1200 1302 25934
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1199.1980 2175.5407 -0.551 0.585
## y.l1 -0.0892 0.1653 -0.540 0.593
##
## Residual standard error: 13380 on 36 degrees of freedom
## Multiple R-squared: 0.00802, Adjusted R-squared: -0.01953
## F-statistic: 0.2911 on 1 and 36 DF, p-value: 0.5929
##
##
## Value of test-statistic, type: Z-tau is: -6.583
##
## aux. Z statistics
## Z-tau-mu -0.5509
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5848892
##
## Degisken: Vad_Hes_AC
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -27044.3 782.7 791.4 1042.6 5938.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -787.7369 813.3642 -0.968 0.339
## y.l1 -0.1193 0.1648 -0.724 0.474
##
## Residual standard error: 4969 on 36 degrees of freedom
## Multiple R-squared: 0.01434, Adjusted R-squared: -0.01303
## F-statistic: 0.5239 on 1 and 36 DF, p-value: 0.4738
##
##
## Value of test-statistic, type: Z-tau is: -6.8057
##
## aux. Z statistics
## Z-tau-mu -0.9705
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.3392606
##
## Degisken: Vad_Hes_Kap
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17268.4 43.6 378.7 396.1 5584.4
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -377.29826 566.47767 -0.666 0.510
## y.l1 -0.09044 0.16429 -0.550 0.585
##
## Residual standard error: 3480 on 36 degrees of freedom
## Multiple R-squared: 0.008347, Adjusted R-squared: -0.0192
## F-statistic: 0.303 on 1 and 36 DF, p-value: 0.5854
##
##
## Value of test-statistic, type: Z-tau is: -6.6358
##
## aux. Z statistics
## Z-tau-mu -0.6659
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5096296
##
## Degisken: Vad_Hes_Top
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -44319 810 1167 1251 9839
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1163.0349 1366.9644 -0.851 0.400
## y.l1 -0.1085 0.1646 -0.659 0.514
##
## Residual standard error: 8373 on 36 degrees of freedom
## Multiple R-squared: 0.01193, Adjusted R-squared: -0.01552
## F-statistic: 0.4345 on 1 and 36 DF, p-value: 0.514
##
##
## Value of test-statistic, type: Z-tau is: -6.7394
##
## aux. Z statistics
## Z-tau-mu -0.8515
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.4004955
##
## Degisken: Repo
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4088.8 -43.5 184.6 186.4 1334.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -185.3214 138.6925 -1.336 0.190
## y.l1 -0.2553 0.1610 -1.586 0.121
##
## Residual standard error: 840.7 on 36 degrees of freedom
## Multiple R-squared: 0.06532, Adjusted R-squared: 0.03936
## F-statistic: 2.516 on 1 and 36 DF, p-value: 0.1214
##
##
## Value of test-statistic, type: Z-tau is: -7.8338
##
## aux. Z statistics
## Z-tau-mu -1.3425
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.1898681
##
## Degisken: Ger_Hiss_Sen
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -75240 912 1076 4959 40768
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1072.0692 2705.7356 -0.396 0.694
## y.l1 -0.3189 0.1580 -2.019 0.051 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 16660 on 36 degrees of freedom
## Multiple R-squared: 0.1017, Adjusted R-squared: 0.07675
## F-statistic: 4.076 on 1 and 36 DF, p-value: 0.051
##
##
## Value of test-statistic, type: Z-tau is: -8.8093
##
## aux. Z statistics
## Z-tau-mu -0.4178
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6942808
##
## Degisken: Tahvil_Bono_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2364.57 -0.04 17.56 18.87 2774.68
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -16.6696 146.7822 -0.114 0.910
## y.l1 -0.1130 0.1655 -0.683 0.499
##
## Residual standard error: 904.8 on 36 degrees of freedom
## Multiple R-squared: 0.01277, Adjusted R-squared: -0.01465
## F-statistic: 0.4658 on 1 and 36 DF, p-value: 0.4993
##
##
## Value of test-statistic, type: Z-tau is: -6.8126
##
## aux. Z statistics
## Z-tau-mu -0.1148
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9102123
##
## Degisken: Tahvil_Bono_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2525.85 -1.41 6.01 8.89 2523.38
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -6.04983 137.39042 -0.044 0.965
## y.l1 -0.07123 0.16624 -0.429 0.671
##
## Residual standard error: 846.9 on 36 degrees of freedom
## Multiple R-squared: 0.005075, Adjusted R-squared: -0.02256
## F-statistic: 0.1836 on 1 and 36 DF, p-value: 0.6708
##
##
## Value of test-statistic, type: Z-tau is: -6.5571
##
## aux. Z statistics
## Z-tau-mu -0.0447
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9651208
##
## Degisken: Tahvil_Bono_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4900.0 -3.8 23.4 29.5 5293.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -22.56730 283.43299 -0.080 0.937
## y.l1 -0.09093 0.16594 -0.548 0.587
##
## Residual standard error: 1747 on 36 degrees of freedom
## Multiple R-squared: 0.008272, Adjusted R-squared: -0.01928
## F-statistic: 0.3003 on 1 and 36 DF, p-value: 0.5871
##
##
## Value of test-statistic, type: Z-tau is: -6.6749
##
## aux. Z statistics
## Z-tau-mu -0.0806
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9369794
##
## Degisken: Altin_Al
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2267.97 14.14 16.79 36.71 2149.33
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -17.6706 109.7364 -0.161 0.873
## y.l1 -0.1227 0.1651 -0.743 0.462
##
## Residual standard error: 676.1 on 36 degrees of freedom
## Multiple R-squared: 0.0151, Adjusted R-squared: -0.01226
## F-statistic: 0.5519 on 1 and 36 DF, p-value: 0.4623
##
##
## Value of test-statistic, type: Z-tau is: -7.216
##
## aux. Z statistics
## Z-tau-mu -0.1726
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8729718
##
## Degisken: Altin_Sat
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1998.97 -75.83 24.26 115.45 1348.64
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -24.4893 104.4113 -0.235 0.816
## y.l1 -0.2265 0.1559 -1.453 0.155
##
## Residual standard error: 642.2 on 36 degrees of freedom
## Multiple R-squared: 0.05541, Adjusted R-squared: 0.02917
## F-statistic: 2.112 on 1 and 36 DF, p-value: 0.1548
##
##
## Value of test-statistic, type: Z-tau is: -8.8256
##
## aux. Z statistics
## Z-tau-mu -0.277
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8158895
##
## Degisken: Altin_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4026.0 32.3 35.9 257.9 3280.9
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -34.90827 201.25817 -0.173 0.863
## y.l1 -0.08403 0.16339 -0.514 0.610
##
## Residual standard error: 1239 on 36 degrees of freedom
## Multiple R-squared: 0.007294, Adjusted R-squared: -0.02028
## F-statistic: 0.2645 on 1 and 36 DF, p-value: 0.6102
##
##
## Value of test-statistic, type: Z-tau is: -7.0297
##
## aux. Z statistics
## Z-tau-mu -0.1871
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8632692
##
## Degisken: VOB_İsl
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -16937.0 199.9 252.3 798.8 17744.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -243.5625 1021.0465 -0.239 0.8128
## y.l1 -0.3396 0.1567 -2.168 0.0368 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6291 on 36 degrees of freedom
## Multiple R-squared: 0.1155, Adjusted R-squared: 0.09092
## F-statistic: 4.7 on 1 and 36 DF, p-value: 0.03684
##
##
## Value of test-statistic, type: Z-tau is: -8.2641
##
## aux. Z statistics
## Z-tau-mu -0.2293
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8128134
##
## Degisken: Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -271699 4320 4785 5844 57252
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -4699.3980 8284.9234 -0.567 0.574
## y.l1 -0.1761 0.1640 -1.074 0.290
##
## Residual standard error: 50920 on 36 degrees of freedom
## Multiple R-squared: 0.03105, Adjusted R-squared: 0.004133
## F-statistic: 1.154 on 1 and 36 DF, p-value: 0.29
##
##
## Value of test-statistic, type: Z-tau is: -7.1741
##
## aux. Z statistics
## Z-tau-mu -0.5673
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5740831MOBIL BANKACILIK ODEMELER PHILLIPS PERON TESTI BIRINCI FARK SONUCLARI
MB_Odemeler_ts_diff <- diff(MB_Odemeler_ts, differences = 1)start_date_diff <- c(2015, 2)
MB_Odemeler_ts_diff <- ts(MB_Odemeler_ts_diff, start = start_date_diff, frequency = 4)variables <- colnames(MB_Odemeler_ts_diff)
pp_results6_diff <- lapply(variables, function(var) {
# PP testi
pp_test6 <- ur.pp(MB_Odemeler_ts_diff[, var], type = "Z-tau", model = "constant", lags = "short")
pp_summary6 <- summary(pp_test6)
p_value6 <- pp_summary6@testreg$coefficients[1, 4]
list(
variable = var,
summary = pp_summary6,
p_value = p_value6
)
})cat("Phillips-Perron Test Sonuclari (Birinci Fark):\n\n")## Phillips-Perron Test Sonuclari (Birinci Fark):for (result in pp_results6_diff) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
}## Degisken: Fatura_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -12360.4 25.2 39.3 600.2 2517.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -23.9833 355.5899 -0.067 0.947
## y.l1 -0.0724 0.1662 -0.436 0.666
##
## Residual standard error: 2192 on 36 degrees of freedom
## Multiple R-squared: 0.005242, Adjusted R-squared: -0.02239
## F-statistic: 0.1897 on 1 and 36 DF, p-value: 0.6658
##
##
## Value of test-statistic, type: Z-tau is: -6.4534
##
## aux. Z statistics
## Z-tau-mu -0.0675
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9465995
##
## Degisken: Vergi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2609.55 3.97 10.86 148.59 582.65
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2.6622 77.3712 -0.034 0.973
## y.l1 -0.1808 0.1639 -1.103 0.277
##
## Residual standard error: 476.9 on 36 degrees of freedom
## Multiple R-squared: 0.0327, Adjusted R-squared: 0.005825
## F-statistic: 1.217 on 1 and 36 DF, p-value: 0.2773
##
##
## Value of test-statistic, type: Z-tau is: -7.2697
##
## aux. Z statistics
## Z-tau-mu -0.0347
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9727419
##
## Degisken: SSK_BAGKUR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2461.93 1.48 12.13 116.41 447.53
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.51556 70.72202 0.007 0.994
## y.l1 -0.07951 0.16614 -0.479 0.635
##
## Residual standard error: 436 on 36 degrees of freedom
## Multiple R-squared: 0.006322, Adjusted R-squared: -0.02128
## F-statistic: 0.229 on 1 and 36 DF, p-value: 0.6351
##
##
## Value of test-statistic, type: Z-tau is: -6.5435
##
## aux. Z statistics
## Z-tau-mu 0.0074
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9942238
##
## Degisken: Kredi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -18342.7 40.1 93.6 787.2 3428.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -19.21387 516.93863 -0.037 0.971
## y.l1 -0.03833 0.16653 -0.230 0.819
##
## Residual standard error: 3187 on 36 degrees of freedom
## Multiple R-squared: 0.00147, Adjusted R-squared: -0.02627
## F-statistic: 0.05298 on 1 and 36 DF, p-value: 0.8193
##
##
## Value of test-statistic, type: Z-tau is: -6.2618
##
## aux. Z statistics
## Z-tau-mu -0.0373
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9705559
##
## Degisken: DİG_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1824.70 9.53 13.93 116.81 395.06
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -8.1545 57.8026 -0.141 0.889
## y.l1 -0.1295 0.1653 -0.784 0.438
##
## Residual standard error: 356.2 on 36 degrees of freedom
## Multiple R-squared: 0.01677, Adjusted R-squared: -0.01054
## F-statistic: 0.614 on 1 and 36 DF, p-value: 0.4384
##
##
## Value of test-statistic, type: Z-tau is: -6.8898
##
## aux. Z statistics
## Z-tau-mu -0.1423
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8885978
##
## Degisken: MB_Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -44559 81 169 1487 7890
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -51.54427 1273.29074 -0.040 0.968
## y.l1 -0.09022 0.16598 -0.544 0.590
##
## Residual standard error: 7849 on 36 degrees of freedom
## Multiple R-squared: 0.008141, Adjusted R-squared: -0.01941
## F-statistic: 0.2955 on 1 and 36 DF, p-value: 0.5901
##
##
## Value of test-statistic, type: Z-tau is: -6.6107
##
## aux. Z statistics
## Z-tau-mu -0.0407
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.9679332INTERNET BANKACILIGI ODEMELER PHILLIPS PERON TESTI BIRINCI FARK SONUCLARI
ib_odemelerr_ts_diff <- diff(ib_odemelerr_ts, differences = 1)start_date_diff <- c(2015, 2)
ib_odemelerr_ts_diff <- ts(ib_odemelerr_ts_diff, start = start_date_diff, frequency = 4)variables <- colnames(ib_odemelerr_ts_diff)
pp_results7_diff <- lapply(variables, function(var) {
# PP testi
pp_test7 <- ur.pp(ib_odemelerr_ts_diff[, var], type = "Z-tau", model = "constant", lags = "short")
pp_summary7 <- summary(pp_test7)
p_value7 <- pp_summary7@testreg$coefficients[1, 4]
list(
variable = var,
summary = pp_summary7,
p_value = p_value7
)
})cat("Phillips-Perron Test Sonuclari (Birinci Fark):\n\n")## Phillips-Perron Test Sonuclari (Birinci Fark):for (result in pp_results7_diff) {
cat("Degisken:", result$variable, "\n")
cat("Ozet:\n")
print(result$summary)
cat("p-degeri:", result$p_value, "\n\n")
}## Degisken: Fatura_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -10813.1 216.1 221.8 423.5 2076.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -216.7233 328.2308 -0.660 0.513
## y.l1 -0.1668 0.1643 -1.015 0.317
##
## Residual standard error: 2015 on 36 degrees of freedom
## Multiple R-squared: 0.02782, Adjusted R-squared: 0.00082
## F-statistic: 1.03 on 1 and 36 DF, p-value: 0.3168
##
##
## Value of test-statistic, type: Z-tau is: -7.1491
##
## aux. Z statistics
## Z-tau-mu -0.6646
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5132788
##
## Degisken: Vergi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -25406.9 464.9 484.7 798.8 3381.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -467.25786 726.81892 -0.643 0.524
## y.l1 -0.08842 0.16576 -0.533 0.597
##
## Residual standard error: 4461 on 36 degrees of freedom
## Multiple R-squared: 0.007842, Adjusted R-squared: -0.01972
## F-statistic: 0.2846 on 1 and 36 DF, p-value: 0.597
##
##
## Value of test-statistic, type: Z-tau is: -6.5793
##
## aux. Z statistics
## Z-tau-mu -0.644
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5243753
##
## Degisken: SSK_BAGKUR
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -8363.2 90.0 108.4 128.1 2896.2
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -105.48583 256.41765 -0.411 0.683
## y.l1 -0.06618 0.16617 -0.398 0.693
##
## Residual standard error: 1578 on 36 degrees of freedom
## Multiple R-squared: 0.004387, Adjusted R-squared: -0.02327
## F-statistic: 0.1586 on 1 and 36 DF, p-value: 0.6928
##
##
## Value of test-statistic, type: Z-tau is: -6.4608
##
## aux. Z statistics
## Z-tau-mu -0.4141
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.6832307
##
## Degisken: Kredi_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6608.3 113.2 117.7 322.1 1956.1
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -112.5196 196.7859 -0.572 0.571
## y.l1 -0.2455 0.1614 -1.521 0.137
##
## Residual standard error: 1210 on 36 degrees of freedom
## Multiple R-squared: 0.06036, Adjusted R-squared: 0.03426
## F-statistic: 2.313 on 1 and 36 DF, p-value: 0.1371
##
##
## Value of test-statistic, type: Z-tau is: -7.8284
##
## aux. Z statistics
## Z-tau-mu -0.5797
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5710196
##
## Degisken: DIG_ODM
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -7841.4 56.4 69.0 324.8 1505.3
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -53.7662 226.4429 -0.237 0.814
## y.l1 -0.1462 0.1644 -0.889 0.380
##
## Residual standard error: 1394 on 36 degrees of freedom
## Multiple R-squared: 0.0215, Adjusted R-squared: -0.005685
## F-statistic: 0.7908 on 1 and 36 DF, p-value: 0.3797
##
##
## Value of test-statistic, type: Z-tau is: -6.964
##
## aux. Z statistics
## Z-tau-mu -0.2371
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.8136628
##
## Degisken: IB_Genel_Toplam
## Ozet:
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -60065 946 989 2746 9536
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -938.0496 1712.6985 -0.548 0.587
## y.l1 -0.1026 0.1657 -0.619 0.540
##
## Residual standard error: 10520 on 36 degrees of freedom
## Multiple R-squared: 0.01053, Adjusted R-squared: -0.01695
## F-statistic: 0.3833 on 1 and 36 DF, p-value: 0.5398
##
##
## Value of test-statistic, type: Z-tau is: -6.6767
##
## aux. Z statistics
## Z-tau-mu -0.5496
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.611625 -2.939942 -2.608045
##
## p-degeri: 0.5872761