Table 9. Dumitrescu and Hurlin (2012)... | Emerald Publishing

Table 9.

Dumitrescu and Hurlin (2012) Granger non-causality test results

Null hypothesis	Lag order= 1
Null hypothesis	$W_{N, T}^{H n c}$	$Z_{N, T}^{H n c}$	$Z_{N}^{H n c}$
dr__exc → dr__itr	4.0061	10.8387***	8.5064***
dr__itr → dr__exc	1.3688	1.3296	0.7395
	Lag order= 2
	$W_{N, T}^{H n c}$	$Z_{N, T}^{H n c}$	$Z_{N}^{H n c}$
dr__exc → dr__itr	4.2196	5.6589***	3.7362***
dr__itr → dr__exc	1.8385	−0.4116	−0.8639
	Lag order= 3
	$W_{N, T}^{H n c}$	$Z_{N, T}^{H n c}$	$Z_{N}^{H n c}$
dr__exc → dr__itr	3.9867	2.0540**	0.6231
dr__itr → dr__exc	3.2183	0.4545	−0.4620

Null hypothesis	Lag order= 1
Null hypothesis	$W_{N, T}^{H n c}$	$Z_{N, T}^{H n c}$	$Z_{N}^{H n c}$
dr__exc → dr__itr	4.0061	10.8387***	8.5064***
dr__itr → dr__exc	1.3688	1.3296	0.7395
	Lag order= 2
	$W_{N, T}^{H n c}$	$Z_{N, T}^{H n c}$	$Z_{N}^{H n c}$
dr__exc → dr__itr	4.2196	5.6589***	3.7362***
dr__itr → dr__exc	1.8385	−0.4116	−0.8639
	Lag order= 3
	$W_{N, T}^{H n c}$	$Z_{N, T}^{H n c}$	$Z_{N}^{H n c}$
dr__exc → dr__itr	3.9867	2.0540**	0.6231
dr__itr → dr__exc	3.2183	0.4545	−0.4620

Note:

*** and ** indicate statistical significance at the 1 and 5% level, respectively