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

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  • Kulaksizoglu, Tamer

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.

Suggested Citation

  • Kulaksizoglu, Tamer, 2015. "Measuring the Core Inflation in Turkey with the SM-AR Model," MPRA Paper 62653, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:62653
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    References listed on IDEAS

    as
    1. Dibooglu, Sel & Kibritcioglu, Aykut, 2004. "Inflation, output growth, and stabilization in Turkey, 1980-2002," Journal of Economics and Business, Elsevier, vol. 56(1), pages 43-61.
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    4. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, October.
    5. González Andrés & Teräsvirta Timo, 2008. "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-28, March.
    6. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers 2009-03, Department of Economics and Business Economics, Aarhus University.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Inflation; Shifting mean autoregressive model; Transition function;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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