Short-run causality test

F-statistics for 2000-2007 period

F-statistics for 2007-2010 period

Regime 1

Regime 2

D(Lnp_wheat)

D(Lnp_flour)

10.84

(0.00)^***

4.53

(0.03)^**

D(Lnp_flour)

D(Lnp_wheat)

4.69

(0.03)^**

25.45

(0.00)^***

Long-run causality

F-statistics for 2000-2007 period

F-statistics for 2007-2010 period

D(Lnp_wheat)

D(Lnp_flour)

10.84

(0.00)^***

0.59

(0.44)

D(Lnp_flour)

D(Lnp_wheat)

49.57

(0.00)^***

40.68

(0.00)^***