Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy

Bilgili, Faik (2006): Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy.

Abstract

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
• Language: English
• 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 ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E20 - General

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