Munich Personal RePEc Archive

Measuring the Core Inflation in Turkey with the SM-AR Model

Kulaksizoglu, Tamer (2015): Measuring the Core Inflation in Turkey with the SM-AR Model.

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Abstract

This paper employs a new econometric technique to estimate the core inflation in Turkey measured as the shifting means in levels between 1955 and 2014. Using monthly series, we determine the number of shifts using the BIC, the hv-block cross-validation, the Lin-Teräsvirta parameter constancy test, and the neural networks test for neglected non-linearity. We find that there are at least three shifts in the inflation series. The findings help detect the exact dates of the shifts between different inflation regimes and the duration of each shift, which should be important information in evaluating the success of past economic policies in fighting inflation.

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