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Testing for Granger Causuality between Industrial output and CPI in the presence of Regime shift: Swedish Data
Mid Sweden University, Faculty of Human Sciences, Department of Social Sciences.
2004 (English)In: Journal of Economic Studies, ISSN 0144-3585, Vol. 31, no 6, 492-499 p.Article in journal (Refereed) Published
Abstract [en]

In this paper, we focus on the Granger casuality test in the presence of regime shift. We apply a vector autoregressive (4) model on Swedish series of industrial output and consumer price index for the period 1980:1 - 1998:6. To test for casuality, three different test methods namely the single equation Likelihood Ration test, the systemwise Rao's F-test and the Bootstrap test, have been used in this study. We show that when the assumption of parameter constancy is violated, due to the occurrence of the structural changes, Granger casuality tests can provide misleading inference about the underlining relationship of casuality.

Place, publisher, year, edition, pages
2004. Vol. 31, no 6, 492-499 p.
Keyword [en]
Bootstrap, Granger Causality, Structural Change, VAR system, Parametric Measures, Economic Forecasting, Economic Change
National Category
Economics
Identifiers
URN: urn:nbn:se:miun:diva-2907DOI: 10.1108/01443580410569235Local ID: 2574OAI: oai:DiVA.org:miun-2907DiVA: diva2:27939
Available from: 2008-09-30 Created: 2008-09-30 Last updated: 2011-01-10Bibliographically approved

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Salman, Khalik
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf