Research Article
Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013)
Table 13
Granger causality between inflation and its uncertainty in terms of break dates obtained from the mean and variance.
| hypothesis | Before 2001:M05 | After 2001:M06 | Before 2002:M01 | After 2002:M02 | Full sample |
| Inflation does not Granger cause inflation uncertainty | 26.7849 () | 21.5441 () | 51.7395 () | 10.0176 () | 17.6723 () | Inflation uncertainty does not Granger cause inflation | 0.51315 (0.7263) | 5.87502 () | 1.13238 (0.3272) | 5.02913 () | 1.80032 (0.0410) |
| Number of observations | 78 | 151 | 88 | 143 | 219 |
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Note: The appropriate number of lags has been determined using FPE criterion from VAR model.
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