Table 6 Multivariate Granger causality...

Table 6

Multivariate Granger causality test results

	Short run							Long run
	$Δ F D E F$	$Δ CAB$	$Δ R G D P$	$Δ INFLATION$	$Δ L R A T E$	$Δ G R A N T$	$Δ DEBT$	$E C T_{t - 1}$
$Δ FDEF$	–	2.510 (0.115)	3.920** (0.049)	0.390 (0.532)	0.840 (0.360)	51.920*** (0.000)	0.710 (0.399)	−0.480*** [−7.80]
$Δ CAB$	0.000 (0.962)	–	0.960 (0.329)	0.090 (0.762)	0.010 (0.927)	0.360 (0.548)	1.700 (0.194)	−0.457*** [−6.390]
$Δ RGDP$	3.230* (0.074)	22.910 (0.000)	–	0.370 (0.542)	0.440 (0.510)	19.770*** (0.000)	1.570 (0.212)	−0.839*** [−10.610]
$Δ INFLATION$	2.470 (0.118)	0.050 (0.832	13.110*** (0.000)	–	5.310** (0.022)	13.580*** (0.000)	0.2000 (0.655)	−0.239*** [−4.160]
$Δ LRATE$	0.390 (0.532)	0.880 (0.350)	0.620 (0.433)	0.570 (0.453)	–	2.460 (0.118)	1.980 (0.161)	−0.171*** [−4.530]
$Δ G R A N T$	39.870*** (0.000)	3.360* (0.068)	19.110*** (0.000)	4.130** (0.043)	0.030 (0.871)	–	9.110*** (0.002)	−0.154*** [−3.020]
$Δ DEBT$	0.590 (0.443	2.990* (0.085)	5.700** (0.018)	0.150 (0.698)	1.060 (0.305)	0.970 (0.320)	–	−0.096** [−2.100]

	Short run							Long run
	$Δ F D E F$	$Δ CAB$	$Δ R G D P$	$Δ INFLATION$	$Δ L R A T E$	$Δ G R A N T$	$Δ DEBT$	$E C T_{t - 1}$
$Δ FDEF$	–	2.510 (0.115)	3.920** (0.049)	0.390 (0.532)	0.840 (0.360)	51.920*** (0.000)	0.710 (0.399)	−0.480*** [−7.80]
$Δ CAB$	0.000 (0.962)	–	0.960 (0.329)	0.090 (0.762)	0.010 (0.927)	0.360 (0.548)	1.700 (0.194)	−0.457*** [−6.390]
$Δ RGDP$	3.230* (0.074)	22.910 (0.000)	–	0.370 (0.542)	0.440 (0.510)	19.770*** (0.000)	1.570 (0.212)	−0.839*** [−10.610]
$Δ INFLATION$	2.470 (0.118)	0.050 (0.832	13.110*** (0.000)	–	5.310** (0.022)	13.580*** (0.000)	0.2000 (0.655)	−0.239*** [−4.160]
$Δ LRATE$	0.390 (0.532)	0.880 (0.350)	0.620 (0.433)	0.570 (0.453)	–	2.460 (0.118)	1.980 (0.161)	−0.171*** [−4.530]
$Δ G R A N T$	39.870*** (0.000)	3.360* (0.068)	19.110*** (0.000)	4.130** (0.043)	0.030 (0.871)	–	9.110*** (0.002)	−0.154*** [−3.020]
$Δ DEBT$	0.590 (0.443	2.990* (0.085)	5.700** (0.018)	0.150 (0.698)	1.060 (0.305)	0.970 (0.320)	–	−0.096** [−2.100]

Note(s): (1) Short-run F-statistics and long-run ECT coefficients are tabulated (2) Short-run p-values are shown in parentheses (3) long-run t-statistics are shown in square brackets (4) Significance levels: *** 1 percent significance level; ** 5% significance level; * 10% significance level

Source(s): Own elaboration

[ViewLarge]

Sharing Unavailable