Table 5 VECM Granger causality test for... | Emerald Publishing

Table 5

VECM Granger causality test for the moderating roles of imports and FDI in the relationship between R&D and innovation output

Independent variables	Short-run effects			Long-run effects
Independent variables	Dependent variables			ECT T-stats
Full sample	$Δ INNO V_{it}$	$Δ {(R & D \times FDI)}_{it}$	$Δ {(R & D \times IMP)}_{it}$	ECT T-stats
$Δ INNO V_{it}$	–	0.39	2.72*	−2.327*
$Δ {(R & D \times FDI)}_{it}$	13.34***	–	1.15	−3.744**
$Δ {(R & D \times IMP)}_{it}$	11.66***	1.15	–	−6.742***
Africa
$Δ INNO V_{it}$	–	1.66	3.43*	−2.991**
$Δ {(R & D \times FDI)}_{it}$	8.02**	–	0.62	−2.713**
$Δ {(R & D \times IMP)}_{it}$	4.77**	3.07*	–	1.285
Asia
$Δ INNO V_{it}$	–	0.41	1.44	−3.522**
$Δ {(R & D \times FDI)}_{it}$	12.28***	–	2.73*	−4.671***
$Δ {(R & D \times IMP)}_{it}$	11.36**	2.85*	–	2.651*
Europe
$Δ INNO V_{it}$	–	0.57	0.27	1.739
$Δ {(R & D \times FDI)}_{it}$	3.79**	–	0.86	−4.762**
$Δ {(R & D \times IMP)}_{it}$	3.31**	0.62		−3.450**
North America
$Δ INNO V_{it}$	–	0.16	1.65	−1.677*
$Δ {(R & D \times FDI)}_{it}$	2.48*	–	0.17	4.438***
$Δ {(R & D \times IMP)}_{it}$	2.82*	0.27	–	−4.328***
South America
$Δ INNO V_{it}$	–	0.86	1.52	0.717
$Δ {(R & D \times FDI)}_{it}$	8.25**	–	1.85	−3.667**
$Δ {(R & D \times IMP)}_{it}$	12.60***	2.25	–	−3.879**

Independent variables	Short-run effects			Long-run effects
Independent variables	Dependent variables			ECTT-stats
Full sample	$Δ INNO V_{it}$	$Δ {(R & D \times FDI)}_{it}$	$Δ {(R & D \times IMP)}_{it}$	ECTT-stats
$Δ INNO V_{it}$	–	0.39	2.72*	−2.327*
$Δ {(R & D \times FDI)}_{it}$	13.34***	–	1.15	−3.744**
$Δ {(R & D \times IMP)}_{it}$	11.66***	1.15	–	−6.742***
Africa
$Δ INNO V_{it}$	–	1.66	3.43*	−2.991**
$Δ {(R & D \times FDI)}_{it}$	8.02**	–	0.62	−2.713**
$Δ {(R & D \times IMP)}_{it}$	4.77**	3.07*	–	1.285
Asia
$Δ INNO V_{it}$	–	0.41	1.44	−3.522**
$Δ {(R & D \times FDI)}_{it}$	12.28***	–	2.73*	−4.671***
$Δ {(R & D \times IMP)}_{it}$	11.36**	2.85*	–	2.651*
Europe
$Δ INNO V_{it}$	–	0.57	0.27	1.739
$Δ {(R & D \times FDI)}_{it}$	3.79**	–	0.86	−4.762**
$Δ {(R & D \times IMP)}_{it}$	3.31**	0.62		−3.450**
North America
$Δ INNO V_{it}$	–	0.16	1.65	−1.677*
$Δ {(R & D \times FDI)}_{it}$	2.48*	–	0.17	4.438***
$Δ {(R & D \times IMP)}_{it}$	2.82*	0.27	–	−4.328***
South America
$Δ INNO V_{it}$	–	0.86	1.52	0.717
$Δ {(R & D \times FDI)}_{it}$	8.25**	–	1.85	−3.667**
$Δ {(R & D \times IMP)}_{it}$	12.60***	2.25	–	−3.879**

Note(s): ***, ** and * denote significance levels at 1%, 5% and 10% respectively