Toda-Yamamoto Granger causality test result
| Null hypothesis | Chi-sq | df | Prob. | Direction of causality |
|---|---|---|---|---|
| HDI does not Granger cause LnCPI | 1.789873 | 2 | 0.4086 | LnCPI→ HDI unidirectional |
| LnCPI does not Granger cause HDI | 7.739296 | 2 | 0.0209** | |
| LnMS does not Granger cause LnCPI | 8.162395 | 2 | 0.0169** | LnMS→ LnCPI unidirectional |
| LnCPI does not Granger cause LnMS | 1.644792 | 2 | 0.4394 | |
| FEXR does not Granger cause LnCPI | 0.509311 | 2 | 0.7752 | No causal relation |
| LnCPI does not Granger cause FEXR | 2.985378 | 2 | 0.2248 | |
| LnMS does not Granger cause HDI | 4.923042 | 2 | 0.0853* | LnMS→ HDI unidirectional |
| HDI does not Granger cause LnMS | 4.454727 | 2 | 0.1078 | |
| FEXR does not Granger cause HDI | 10.55028 | 2 | 0.0051*** | FEXR→ HDI unidirectional |
| HDI does not Granger cause FEXR | 2.918919 | 2 | 0.2324 | |
| FEXR does not Granger cause LnMS | 4.421318 | 2 | 0.1096 | No causal relation |
| LnMS does not Granger cause FEXR | 1.617152 | 2 | 0.4455 |
| Null hypothesis | Chi-sq | df | Prob. | Direction of causality |
|---|---|---|---|---|
| 1.789873 | 2 | 0.4086 | LnCPI→ HDI unidirectional | |
| 7.739296 | 2 | 0.0209 | ||
| LnMS does not Granger cause | 8.162395 | 2 | 0.0169 | LnMS→ LnCPI unidirectional |
| 1.644792 | 2 | 0.4394 | ||
| FEXR does not Granger cause | 0.509311 | 2 | 0.7752 | No causal relation |
| 2.985378 | 2 | 0.2248 | ||
| LnMS does not Granger cause | 4.923042 | 2 | 0.0853 | LnMS→ HDI unidirectional |
| 4.454727 | 2 | 0.1078 | ||
| FEXR does not Granger cause | 10.55028 | 2 | 0.0051 | FEXR→ HDI unidirectional |
| 2.918919 | 2 | 0.2324 | ||
| FEXR does not Granger cause LnMS | 4.421318 | 2 | 0.1096 | No causal relation |
| LnMS does not Granger cause FEXR | 1.617152 | 2 | 0.4455 |
Note:
***, ** and * indicate significance at 1%, 5% and 10% levels, respectively.