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

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  • Bilgili, Faik

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.

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File URL: http://mpra.ub.uni-muenchen.de/24086/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24086.

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Date of creation: 02 Jun 2006
Date of revision: 14 Jul 2010
Handle: RePEc:pra:mprapa:24086

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Keywords: consumption; fiscal policies; seasonality; stationarity; random walk; excess smoothness; excess sensitivity;

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