Pairwise granger causality tests
| Null hypothesis | Lag 1 | Lag 2 | Lag 3 | Lag 4 | ||||
|---|---|---|---|---|---|---|---|---|
| F-Statistic | p-value | F-Statistic | p-value | F-Statistic | p-value | F-Statistic | p-value | |
| D(CPI) does not granger cause D(BCI) | 0.12 | 0.73 | 1.70 | 0.19 | 2.02 | 0.12 | 1.61 | 0.18 |
| D(BCI) does not granger cause D(CPI) | 0.38 | 0.54 | 0.45 | 0.64 | 0.20 | 0.90 | 0.16 | 0.96 |
| D(GDP) does not granger cause D(BCI) | 0.44 | 0.51 | 4.54 | 0.01 | 3.47 | 0.02 | 2.56 | 0.04 |
| D(BCI) does not granger cause D(GDP) | 8.27 | 0.01 | 6.34 | 0.00 | 4.15 | 0.01 | 3.04 | 0.02 |
| D(PP) does not granger cause D(BCI) | 1.13 | 0.29 | 3.57 | 0.03 | 2.67 | 0.05 | 2.29 | 0.06 |
| D(BCI) does not granger cause D(PP) | 0.01 | 0.91 | 0.06 | 0.94 | 0.11 | 0.96 | 0.46 | 0.77 |
| D(PPI__APPLIANCES_) does not granger cause D(BCI) | 0.03 | 0.87 | 0.02 | 0.98 | 0.25 | 0.86 | 0.18 | 0.95 |
| D(BCI) does not granger cause D(PPI__APPLIANCES_) | 0.00 | 0.99 | 1.10 | 0.34 | 0.68 | 0.56 | 0.81 | 0.53 |
| D(PPI__CERAMIC_) does not granger cause D(BCI)) | 4.11 | 0.05 | 2.87 | 0.06 | 2.23 | 0.09 | 1.79 | 0.14 |
| D(BCI) does not granger cause D(PPI__CERAMIC_) | 0.01 | 0.92 | 0.44 | 0.65 | 1.03 | 0.38 | 2.27 | 0.07 |
| D(PPI__CONCRETE_) does not granger cause D(BCI) | 2.93 | 0.09 | 1.81 | 0.17 | 1.49 | 0.22 | 1.94 | 0.11 |
| D(BCI) does not granger cause D(PPI__CONCRETE_) | 4.54 | 0.04 | 2.16 | 0.12 | 1.89 | 0.14 | 1.31 | 0.27 |
| D(PPI__ELECTRICAL_) does not granger cause D(BCI) | 5.68 | 0.02 | 4.73 | 0.01 | 3.03 | 0.03 | 2.25 | 0.07 |
| D(BCI) does not granger cause D(PPI__ELECTRICAL_) | 0.20 | 0.66 | 0.47 | 0.63 | 0.13 | 0.94 | 0.32 | 0.86 |
| D(PPI__OTHER_MATERIALS_) does not granger cause D(BCI) | 6.55 | 0.01 | 3.21 | 0.05 | 2.34 | 0.08 | 2.14 | 0.08 |
| D(BCI) does not granger cause D(PPI__OTHER_MATERIALS_) | 0.40 | 0.53 | 0.17 | 0.84 | 1.37 | 0.26 | 1.44 | 0.23 |
| D(PPI__OTHER_METALS_) does not granger cause D(BCI) | 1.79 | 0.18 | 1.08 | 0.34 | 1.04 | 0.38 | 0.98 | 0.43 |
| D(BCI) does not granger cause D(PPI__OTHER_METALS_) | 4.18 | 0.04 | 3.64 | 0.03 | 2.63 | 0.06 | 2.46 | 0.05 |
| D(PPI__PLUMBING_) does not granger cause D(BCI) | 0.12 | 0.73 | 0.45 | 0.64 | 0.49 | 0.69 | 0.61 | 0.66 |
| D(BCI) does not granger cause D(PPI__PLUMBING_) | 0.67 | 0.42 | 1.23 | 0.30 | 0.99 | 0.40 | 0.91 | 0.46 |
| D(PPI__STEEL_) does not granger cause D(BCI) | 9.76 | 0.00 | 6.50 | 0.00 | 5.53 | 0.00 | 3.88 | 0.01 |
| D(BCI) does not granger cause D(PPI__STEEL_) | 19.19 | 0.00 | 7.87 | 0.00 | 4.62 | 0.01 | 3.58 | 0.01 |
| D(PPI__TIMBER_) does not granger cause D(BCI) | 0.01 | 0.92 | 1.38 | 0.26 | 1.15 | 0.33 | 1.04 | 0.39 |
| D(BCI) does not granger cause D(PPI__TIMBER_) | 1.49 | 0.23 | 0.82 | 0.44 | 0.43 | 0.73 | 1.01 | 0.41 |
| D(UR) does not granger cause D(BCI) | 1.39 | 0.24 | 0.87 | 0.42 | 0.93 | 0.43 | 0.95 | 0.44 |
| D(BCI) does not granger cause D(UR) | 11.03 | 0.00 | 6.37 | 0.00 | 4.72 | 0.00 | 2.76 | 0.03 |
| Null hypothesis | Lag 1 | Lag 2 | Lag 3 | Lag 4 | ||||
|---|---|---|---|---|---|---|---|---|
| D( | 0.12 | 0.73 | 1.70 | 0.19 | 2.02 | 0.12 | 1.61 | 0.18 |
| D( | 0.38 | 0.54 | 0.45 | 0.64 | 0.20 | 0.90 | 0.16 | 0.96 |
| D( | 0.44 | 0.51 | 4.54 | 0.01 | 3.47 | 0.02 | 2.56 | 0.04 |
| D( | 8.27 | 0.01 | 6.34 | 0.00 | 4.15 | 0.01 | 3.04 | 0.02 |
| D( | 1.13 | 0.29 | 3.57 | 0.03 | 2.67 | 0.05 | 2.29 | 0.06 |
| D( | 0.01 | 0.91 | 0.06 | 0.94 | 0.11 | 0.96 | 0.46 | 0.77 |
| D(PPI__APPLIANCES_) does not granger cause D( | 0.03 | 0.87 | 0.02 | 0.98 | 0.25 | 0.86 | 0.18 | 0.95 |
| D( | 0.00 | 0.99 | 1.10 | 0.34 | 0.68 | 0.56 | 0.81 | 0.53 |
| D(PPI__CERAMIC_) does not granger cause D( | 4.11 | 0.05 | 2.87 | 0.06 | 2.23 | 0.09 | 1.79 | 0.14 |
| D( | 0.01 | 0.92 | 0.44 | 0.65 | 1.03 | 0.38 | 2.27 | 0.07 |
| D(PPI__CONCRETE_) does not granger cause D( | 2.93 | 0.09 | 1.81 | 0.17 | 1.49 | 0.22 | 1.94 | 0.11 |
| D( | 4.54 | 0.04 | 2.16 | 0.12 | 1.89 | 0.14 | 1.31 | 0.27 |
| D(PPI__ELECTRICAL_) does not granger cause D( | 5.68 | 0.02 | 4.73 | 0.01 | 3.03 | 0.03 | 2.25 | 0.07 |
| D( | 0.20 | 0.66 | 0.47 | 0.63 | 0.13 | 0.94 | 0.32 | 0.86 |
| D(PPI__OTHER_MATERIALS_) does not granger cause D( | 6.55 | 0.01 | 3.21 | 0.05 | 2.34 | 0.08 | 2.14 | 0.08 |
| D( | 0.40 | 0.53 | 0.17 | 0.84 | 1.37 | 0.26 | 1.44 | 0.23 |
| D(PPI__OTHER_METALS_) does not granger cause D( | 1.79 | 0.18 | 1.08 | 0.34 | 1.04 | 0.38 | 0.98 | 0.43 |
| D( | 4.18 | 0.04 | 3.64 | 0.03 | 2.63 | 0.06 | 2.46 | 0.05 |
| D(PPI__PLUMBING_) does not granger cause D( | 0.12 | 0.73 | 0.45 | 0.64 | 0.49 | 0.69 | 0.61 | 0.66 |
| D( | 0.67 | 0.42 | 1.23 | 0.30 | 0.99 | 0.40 | 0.91 | 0.46 |
| D(PPI__STEEL_) does not granger cause D( | 9.76 | 0.00 | 6.50 | 0.00 | 5.53 | 0.00 | 3.88 | 0.01 |
| D( | 19.19 | 0.00 | 7.87 | 0.00 | 4.62 | 0.01 | 3.58 | 0.01 |
| D(PPI__TIMBER_) does not granger cause D( | 0.01 | 0.92 | 1.38 | 0.26 | 1.15 | 0.33 | 1.04 | 0.39 |
| D( | 1.49 | 0.23 | 0.82 | 0.44 | 0.43 | 0.73 | 1.01 | 0.41 |
| D( | 1.39 | 0.24 | 0.87 | 0.42 | 0.93 | 0.43 | 0.95 | 0.44 |
| D( | 11.03 | 0.00 | 6.37 | 0.00 | 4.72 | 0.00 | 2.76 | 0.03 |
lag = 4; Sample = 9 / 01/1997–12 / 01/2018; BCI = building cost index; CPI = consumer price index; GDP = gross domestic product; PP = petroleum price; UR = unemployment rate; PPI = producer price index
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