Result of VEC Granger causality/block exogeneity Wald test
| Model | Dependent variables | Independent variables | χ2-value | p-value | H0 |
|---|---|---|---|---|---|
| 1 | ΔLNBSE | ΔLNCRUDE_OIL | 20.22621 | 0.0002 | Rejected |
| ΔLNEXCHANGE_RATE | 25.98242 | 0.0000 | Rejected | ||
| 2 | ΔLNCRUDE_OIL | ΔLNBSE | 2.986601 | 0.3937 | Accepted |
| ΔLNEXCHANGE_RATE | 3.433274 | 0.3295 | Accepted | ||
| 3 | ΔLNEXCHANGE_RATE | ΔLNBSE | 4.338200 | 0.2272 | Accepted |
| ΔLNCRUDE_OIL | 8.856948 | 0.0313 | Rejected |
| Model | Dependent variables | Independent variables | |||
|---|---|---|---|---|---|
| 1 | ΔLNBSE | ΔLNCRUDE_OIL | 20.22621 | 0.0002 | Rejected |
| ΔLNEXCHANGE_RATE | 25.98242 | 0.0000 | Rejected | ||
| 2 | ΔLNCRUDE_OIL | ΔLNBSE | 2.986601 | 0.3937 | Accepted |
| ΔLNEXCHANGE_RATE | 3.433274 | 0.3295 | Accepted | ||
| 3 | ΔLNEXCHANGE_RATE | ΔLNBSE | 4.338200 | 0.2272 | Accepted |
| ΔLNCRUDE_OIL | 8.856948 | 0.0313 | Rejected |
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