Khalik Salman, A.; Shukur, Ghazi - In: Journal of Economic Studies 31 (2004) 6, pp. 492-499
In this paper, we focus on the Granger causality 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 causality, three different test methods namely the single...