Mathematical Problems in Engineering / 2014 / Article / Tab 13

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.

hypothesisBefore 2001:M05After 2001:M06Before 2002:M01After 2002:M02Full sample

Inflation does not Granger cause inflation uncertainty26.7849
()
21.5441
()
51.7395
()
10.0176
()
17.6723
()
Inflation uncertainty does not Granger cause inflation0.51315
(0.7263)
5.87502
()
1.13238
(0.3272)
5.02913
()
1.80032
(0.0410)

Number of observations7815188143219

Note: The appropriate number of lags has been determined using FPE criterion from VAR model.