Panel data is widely and increasingly used in economic research. Because of the combination of the cross-section and time series data, it presents more informative data abot the variables. Due to these features, there have been constant new developments regarding panel data in recent years in order to reach more efficient, consistent and unbiased predictions through panel data analysis. Especially, the models used in time series analysis are applied to panel data models.

For this reason, in the study, firstly linear and non-linear time series models; Afterwards, linear and nonlinear panel vector autoregressive models were introduced. In the section of the application, the crisis, which started in Mexico in 1994 and is referred to as a sudden stop in the economy in the literature, is discussed separately for Turkey and emerging market economies with the variables of real growth, real exchange rate and the share of portfolio investments in Gross National Product.