Table 5 Endogeneity test S/N Target... | Emerald Publishing

Table 5

Endogeneity test

S/N	Target variable (Y)	Correlation between residuals (⁠ $ε_{t})$ and $Z_{t}$ (EPU)	Correlation between residuals $(ε_{t})$ and $Z_{t}$ (EFFR)
1	ICLN	−5.76e−17	−9.8e−16
2	BGRN	−4.76e−17	3.4e−16
3	EFFR	5.46e−17	−1.2e−15
4	EFFR_Volume	4.17e−17	8.1e−16
5	Energy	−8.37e−17	5.7e−16

S/N	Target variable (Y)	Correlation between residuals ( $ε_{t})$ and $Z_{t}$ (EPU)	Correlation between residuals $(ε_{t})$ and $Z_{t}$ (EFFR)
1	ICLN	−5.76e−17	−9.8e−16
2	BGRN	−4.76e−17	3.4e−16
3	EFFR	5.46e−17	−1.2e−15
4	EFFR_Volume	4.17e−17	8.1e−16
5	Energy	−8.37e−17	5.7e−16

Note(s): ***, **, * mean p-value of 10, 5, and 1%

Source(s): Computed by the authors