Granger-causality test results (short-run and long-run causation)
| Dependent variable | Independent variables Coefficients [p-value] | ECTt-1 [t-statistics] | ||||||
|---|---|---|---|---|---|---|---|---|
| GPDt | PDt | GOVEt | INFt | INVt | OPENt | POPGt | ||
| GPDt | − | 0.004 [0.938] | −0.092 [0.679] | −0.003 [0.897] | −0.282*** [0.009] | 0.057 [0.180] | 6.325 [0.580] | −1.077*** [−3.726] |
| PDt | −1.319 [0.215] | − | 1.761 [0.200] | −0.073 [0.525] | −1.479* [0.068] | −0.472** [0.046] | −23.552 [0.798] | − |
| GOVEt | 0.036 [0.797] | 0.003 [0.947] | − | −0.039* [0.098] | −0.068 [0.490] | 0.004 [0.914] | −3.712 [0.734] | − |
| INFt | −0.162 [0.913] | 0.982*** [0.001] | 1.602 [0.307] | − | −0.937 [0.169] | −0.326 [0.157] | −29.064 [0.763] | − |
| INVt | −1.871*** [0.000] | 0.253** [0.043] | 1.439*** [0.003] | −0.158** [0.039] | − | −0.125* [0.070] | −59.789* [0.056] | −1.029*** [−3.181] |
| OPENt | 0.875 [0.821] | 0.372 [0.503] | −4.306 [0.251] | −0.057 [0.904] | −0.564 [0.672] | − | −73.609 [0.882] | − |
| POPGt | −0.009* [0.077] | −0.001* [0.084] | 0.006* [0.078] | 0.001* [0.063] | −0.004* [0.064] | 0.000 [0.349] | − | − |
| Dependent variable | Independent variables | |||||||
|---|---|---|---|---|---|---|---|---|
| − | 0.004 | −0.092 | −0.003 | −0.282*** | 0.057 | 6.325 | −1.077*** | |
| −1.319 | 1.761 | −0.073 | −1.479* | −0.472** | −23.552 | − | ||
| 0.036 | 0.003 | −0.039* | −0.068 | 0.004 | −3.712 | − | ||
| −0.162 | 0.982*** | 1.602 | −0.937 | −0.326 | −29.064 | − | ||
| −1.871*** | 0.253** | 1.439*** | −0.158** | −0.125* | −59.789* | −1.029*** | ||
| 0.875 | 0.372 | −4.306 | −0.057 | −0.564 | −73.609 | − | ||
| −0.009* | −0.001* | 0.006* | 0.001* | −0.004* | 0.000 | − | − | |
Notes:
INVt Granger causes PDt at lag 1; PDt Granger causes INFt at lag 1; PDt Granger causes INVt at lag 2; INFt Granger causes INVt at lag 1; POPGt Granger causes INVt at lag 2; GOVEt Granger causes POPGt at lag 1 and the other variables Granger cause POPGt at lag 2; *, ** and *** are significants at 10, 5 and 1%, respectively
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