Bilgili, Faik (2006): Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy.
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This paper observes the Turkish household’ consumption data to see whether it follows random walk or not. The quarterly data covers the period from 1987:1 to 2003:4. By employing the direct tests for random walk, excess smoothness or excess sensitivity, this study results in both excess sensitivity and excess smoothness and rejects random walk hypothesis for the Turkish consumption pattern.
|Item Type:||MPRA Paper|
|Original Title:||Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy|
|Keywords:||consumption, fiscal policies, seasonality, stationarity, random walk, excess smoothness, excess sensitivity|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E20 - General
|Depositing User:||Faik Bilgili|
|Date Deposited:||26. Jul 2010 02:07|
|Last Modified:||12. Feb 2013 14:36|
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