Cointegration and time domain causality
| Cointegration test | ||
| Variables | Lag structure (AIC, SBC) | Bounds value |
| INF and GFD | 1, 0 | 10.675* |
| INF and GFDD | 1, 0 | 10.473* |
| Time-domain causality | ||
| Variables | XS2 | p-value |
| GFD causes INF | 19.443 | 0.035* |
| INF causes GFD | 2.5017 | 0.990 |
| GFDD causes INF | 22.014 | 0.037* |
| INF causes GFDD | 6.1367 | 0.909 |
| 1, 0 | 10.675* | |
| 1, 0 | 10.473* | |
| Variables | ||
| 19.443 | 0.035* | |
| 2.5017 | 0.990 | |
| 22.014 | 0.037* | |
| 6.1367 | 0.909 |
Notes:
*Indicates statistical significance at 1% significance level and the corresponding lower and upper bound critical values are 6.84 and 7.84 for ARDL Bounds test, respectively. For the time domain causality, Toda and Yamamoto (1995) test is applied. For the appropriate lag selection, AIC and SBC criteria's are used