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

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.

MoreLess

Year of publication:	2006-06-02
Authors:	Bilgili, Faik
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	consumption \| fiscal policies \| seasonality \| stationarity \| random walk \| excess smoothness \| excess sensitivity

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models ; E20 - Consumption, Saving, Production, Employment, and Investment. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008560486