Table A1. Vector auto regression lag...

Table A1.

Vector auto regression lag order selection criteria for obtaining the appropriate lag length to apply the Granger causality

VAR lag order selection criteria
Lag	LogL	LR	FPE	AIC	SC	HQ
0	−13.68123	NA	0.007509	0.784061	0.868505	0.814594
1	66.41170	148.1719	0.000167	−3.020585	−2.767253	−2.928988
2	69.84805	6.013602	0.000172	−2.992402	−2.570183	−2.839741
3	86.82970	28.01973	9.05e-05	−3.641485	−3.050377*	−3.427759*
4	87.18016	0.543213	0.000110	−3.459008	−2.699012	−3.184218
5	96.58246	13.63333*	8.47e-05*	−3.729123*	−2.800239	−3.393268
6	100.0101	4.627365	8.90e-05	−3.700507	−2.602735	−3.303587
7	100.6895	0.849149	0.000108	−3.534473	−2.267813	−3.076489
8	106.1650	6.296847	0.000104	−3.608249	−2.172701	−3.089200

VAR lag order selection criteria
Lag	LogL	LR	FPE	AIC	SC	HQ
0	−13.68123	NA	0.007509	0.784061	0.868505	0.814594
1	66.41170	148.1719	0.000167	−3.020585	−2.767253	−2.928988
2	69.84805	6.013602	0.000172	−2.992402	−2.570183	−2.839741
3	86.82970	28.01973	9.05e-05	−3.641485	−3.050377*	−3.427759*
4	87.18016	0.543213	0.000110	−3.459008	−2.699012	−3.184218
5	96.58246	13.63333*	8.47e-05*	−3.729123*	−2.800239	−3.393268
6	100.0101	4.627365	8.90e-05	−3.700507	−2.602735	−3.303587
7	100.6895	0.849149	0.000108	−3.534473	−2.267813	−3.076489
8	106.1650	6.296847	0.000104	−3.608249	−2.172701	−3.089200

Notes:

*Indicates lag order selected by the criterion; LR: sequential modified LR test statistic (each test at 5% level); FPE: final prediction error; AIC: Akaike information criterion; SC: Schwarz information criterion; HQ: Hannan-Quinn information criterion

[ViewLarge]