VECM and Granger causality test
| Direction of causality | ||||||||
|---|---|---|---|---|---|---|---|---|
| Short-run (Wald test statistic) | ||||||||
| Dependent variable | ∑ΔTt−1 | ∑ ΔIPt−1 | ∑ΔEMt−1 | ∑ΔCPIt−1 | ∑ΔEPUt−1 | ∑ΔEXt−1 | ∑ΔGPRt−1 | ECMt-1 |
| ΔTt | – | 9.65*(0.002) | 1.42(0.67) | 2.61(0.27) | 8.83*(0.01) | 0.063(0.96) | 10.38*(0.002) | −0.58*(0.01) |
| ΔIPt | 1.50(0.47) | – | 0.093(0.11) | 0.44(0.80) | 12.02*(0.002) | 7.71*(0.002) | 0.04(0.21) | −0.34* (0.002) |
| ΔEMt | 1.49(0.47) | – | 6.57*(0.0038) | 2.62(0.32) | 0.09(0.08) | 0.21 (0.43) | ||
| ΔCPIt | 2.40(0.36) | 3.48*(0.001) | – | 0.98(0.21) | 0.77(0.52) | 0.32(0.22) | 0.34(0.98) | |
| ΔEPUt | 0.44(0.80) | 0.52(0.77) | 1.21(0.33) | 0.98(0.36) | – | 0.11(0.21) | 0.45(0.12) | −0.67* (0.003) |
| ΔEXt | 2.62(0.27) | 0.21(0.43) | 0.67(0.43) | 3.41(0.001) | 1.54(0.47) | – | 0.98(0.1) | 3.21 (0.98) |
| ΔGPRt | 0.73(0.44) | 0.33(0.91) | 0.43(0.11) | 0.05(0.16) | 0.21(0.98) | )0.32(0.12) | – | −0.43* (0.011) |
| Direction of causality | ||||||||
|---|---|---|---|---|---|---|---|---|
| Short-run (Wald test statistic) | ||||||||
| Dependent variable | ∑Δ | ∑ Δ | ∑Δ | ∑Δ | ∑Δ | ∑Δ | ∑Δ | |
| Δ | – | 9.65*(0.002) | 1.42(0.67) | 2.61(0.27) | 8.83*(0.01) | 0.063(0.96) | 10.38*(0.002) | −0.58*(0.01) |
| Δ | 1.50(0.47) | – | 0.093(0.11) | 0.44(0.80) | 12.02*(0.002) | 7.71*(0.002) | 0.04(0.21) | −0.34* (0.002) |
| Δ | 1.49(0.47) | – | 6.57*(0.0038) | 2.62(0.32) | 0.09(0.08) | 0.21 (0.43) | ||
| Δ | 2.40(0.36) | 3.48*(0.001) | – | 0.98(0.21) | 0.77(0.52) | 0.32(0.22) | 0.34(0.98) | |
| Δ | 0.44(0.80) | 0.52(0.77) | 1.21(0.33) | 0.98(0.36) | – | 0.11(0.21) | 0.45(0.12) | −0.67* (0.003) |
| Δ | 2.62(0.27) | 0.21(0.43) | 0.67(0.43) | 3.41(0.001) | 1.54(0.47) | – | 0.98(0.1) | 3.21 (0.98) |
| Δ | 0.73(0.44) | 0.33(0.91) | 0.43(0.11) | 0.05(0.16) | 0.21(0.98) | )0.32(0.12) | – | −0.43* (0.011) |
Note:
Figure in the parenthesis denotes the probability
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.