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

Faik Bilgili

MPRA Paper from University Library of Munich, Germany

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.

Keywords: consumption; fiscal policies; seasonality; stationarity; random walk; excess smoothness; excess sensitivity (search for similar items in EconPapers)
JEL-codes: C32 E20 (search for similar items in EconPapers)
Date: 2006-06-02, Revised 2010-07-14
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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