Result of short-run estimator and panel causality test
| Explanatory variable | Explain variable: lnCF | ||
|---|---|---|---|
| Coefficient [t-statistics] | Prob. | Significance | |
| CointEq(−1) | −0.013123 [−0.218893] | 0.8290 | Insignificant |
| lnAIi | 0.004888 [1.571828] | 0.1317 | Insignificant |
| lnET | 0.025766 [0.139760] | 0.8902 | Insignificant |
| lnEG | 0.688315** [2.222336] | 0.0380 | Significant and positive |
| lnVAag | 0.043815 [0.546820] | 0.5906 | Insignificant |
| lnVAi | 0.171643 [0.948654] | 0.3541 | Insignificant |
| Diagnostic results |
| ||
| Explanatory variable | Explain variable: lnCF | ||
|---|---|---|---|
| Coefficient [ | Prob. | Significance | |
| CointEq(−1) | −0.013123 [−0.218893] | 0.8290 | Insignificant |
| lnAIi | 0.004888 [1.571828] | 0.1317 | Insignificant |
| lnET | 0.025766 [0.139760] | 0.8902 | Insignificant |
| lnEG | 0.688315** [2.222336] | 0.0380 | Significant and positive |
| lnVAag | 0.043815 [0.546820] | 0.5906 | Insignificant |
| lnVAi | 0.171643 [0.948654] | 0.3541 | Insignificant |
| Diagnostic results | Root Mean Squared Error (RMSE): 0.0113 Log-likelihood score: 174.03 Akaike Information Criterion (AIC): −5.055664) Schwarz Criterion (SC): −3.778271 Hannan-Quinn (HQ): −4.561686 | ||
| Dumitrescu-Hurlin panel causality tests (where causality exist) | |||
|---|---|---|---|
| Variable | W-Stat. | Zbar-Stat. | Prob. |
| EG → AIpi | 3.99628 | 2.07338 | 0.0381 |
| ET → VAi | 3.39000 | 1.58921 | 0.1120 |
| VAag → EG | 3.51605 | 1.68987 | 0.0911 |
| VAag → VAi | 3.86866 | 1.97146 | 0.0487 |
| Dumitrescu-Hurlin panel causality tests (where causality exist) | |||
|---|---|---|---|
| Variable | W-Stat. | Zbar-Stat. | Prob. |
| EG → AIpi | 3.99628 | 2.07338 | 0.0381 |
| ET → VAi | 3.39000 | 1.58921 | 0.1120 |
| VAag → EG | 3.51605 | 1.68987 | 0.0911 |
| VAag → VAi | 3.86866 | 1.97146 | 0.0487 |
Note(s): *, **, and *** denotes significant at 1, 5 and 10% level
The lag length 1 used for all variables →denotes one-way causal relationship