VEC Granger causality test
| Dependent variable | Types of causality | |||||
|---|---|---|---|---|---|---|
| Short-run independent variables | Long-run | |||||
| ΔlnSMD | ΔlnFDI | ΔlnEXR | ΔlnINF | ΔlnINT | ECMt-1 | |
| ΔlnSMD | … | 9.5499*** | 0.3302 | 9.4632*** | 3.8792** | −0.1358*** |
| (0.0020) | (0.5655) | (0.0021) | (0.0489) | (0.0032) | ||
| ΔlnFDI | 1.6464 | … | 0.3583 | 2.1279 | 1.9384 | 0.0574*** |
| (0.1994) | (0.5494 | (0.1446) | (0.1638) | (0.0014) | ||
| ΔlnEXR | 0.6846 | 0.5820 | … | 0.9065 | 4.7137** | −0.0339*** |
| (0.4080) | (0.4455) | (0.3410) | (0.0299) | (0.0023) | ||
| ΔlnINF | 1.4198 | 1.3935 | 0.2167 | … | 0.6028 | −0.0851 |
| (0.2334) | (0.2378) | (0.6415) | (0.4375) | (0.2119) | ||
| ΔlnINT | 1.5837 | 4.6371** | 0.1475 | 8.6740*** | … | 0.3321*** |
| (0.2082) | (0.0313) | (0.7009) | (0.0032) | (0.0058) | ||
| Dependent variable | Types of causality | |||||
|---|---|---|---|---|---|---|
| Short-run independent variables | Long-run | |||||
| ΔlnSMD | ΔlnFDI | ΔlnEXR | ΔlnINF | ΔlnINT | ECMt-1 | |
| ΔlnSMD | … | 9.5499*** | 0.3302 | 9.4632*** | 3.8792** | −0.1358*** |
| (0.0020) | (0.5655) | (0.0021) | (0.0489) | (0.0032) | ||
| ΔlnFDI | 1.6464 | … | 0.3583 | 2.1279 | 1.9384 | 0.0574*** |
| (0.1994) | (0.5494 | (0.1446) | (0.1638) | (0.0014) | ||
| ΔlnEXR | 0.6846 | 0.5820 | … | 0.9065 | 4.7137** | −0.0339*** |
| (0.4080) | (0.4455) | (0.3410) | (0.0299) | (0.0023) | ||
| ΔlnINF | 1.4198 | 1.3935 | 0.2167 | … | 0.6028 | −0.0851 |
| (0.2334) | (0.2378) | (0.6415) | (0.4375) | (0.2119) | ||
| ΔlnINT | 1.5837 | 4.6371** | 0.1475 | 8.6740*** | … | 0.3321*** |
| (0.2082) | (0.0313) | (0.7009) | (0.0032) | (0.0058) | ||
| ΔlnSMD | ΔlnFDI | ΔlnINF | ΔlnINT | ΔlnBANK | ECMt-1 | |
|---|---|---|---|---|---|---|
| ΔlnSMD | … | 7.5177*** | 2.0481 | 3.5116* | 4.8305** | −0.1331*** |
| (0.0061) | (0.1524) | (0.0609) | (0.0280) | (0.0013) | ||
| ΔlnFDI | 3.5458* | … | 0.2814 | 0.4168 | 2.0360 | 0.0478*** |
| (0.0597) | (0.5958) | (0.5185) | (0.1536) | (0.0039) | ||
| ΔlnINF | 1.2012 | 0.5153 | … | 5.90E-05 | 0.4127 | −0.0260 |
| (0.2731) | (0.4728) | (0.9939) | (0.5206) | (0.6732) | ||
| ΔlnINT | 0.0089 | 8.2913*** | 4.3833** | … | 9.1483*** | 0.3672*** |
| (0.9248) | (0.0040) | (0.0363) | (0.0025) | (0.0001) | ||
| ΔlnBANK | 0.0762 | 0.0840 | 0.0531 | 0.0026 | … | −0.0046 |
| (0.7825) | (0.7719) | (0.8176) | (0.9589) | (0.5493) |
| ΔlnSMD | ΔlnFDI | ΔlnINF | ΔlnINT | ΔlnBANK | ECMt-1 | |
|---|---|---|---|---|---|---|
| ΔlnSMD | … | 7.5177*** | 2.0481 | 3.5116* | 4.8305** | −0.1331*** |
| (0.0061) | (0.1524) | (0.0609) | (0.0280) | (0.0013) | ||
| ΔlnFDI | 3.5458* | … | 0.2814 | 0.4168 | 2.0360 | 0.0478*** |
| (0.0597) | (0.5958) | (0.5185) | (0.1536) | (0.0039) | ||
| ΔlnINF | 1.2012 | 0.5153 | … | 5.90E-05 | 0.4127 | −0.0260 |
| (0.2731) | (0.4728) | (0.9939) | (0.5206) | (0.6732) | ||
| ΔlnINT | 0.0089 | 8.2913*** | 4.3833** | … | 9.1483*** | 0.3672*** |
| (0.9248) | (0.0040) | (0.0363) | (0.0025) | (0.0001) | ||
| ΔlnBANK | 0.0762 | 0.0840 | 0.0531 | 0.0026 | … | −0.0046 |
| (0.7825) | (0.7719) | (0.8176) | (0.9589) | (0.5493) |
Note(s): *, ** and *** represent significant at 10, 5 and 1% levels, respectively. The χ2 statistics (for short-run) are reported with probability values in parenthesis
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