Granger causality tests
| Null hypothesis | F-statistic | p-value | Null hypothesis | F-statistic | p-value |
|---|---|---|---|---|---|
| Pryor | |||||
| LGDP does not Granger cause LGC | 3.48292** | 0.0226 | LGC does not Granger cause LGDP | 6.12465*** | 0.0013 |
| Gupta | |||||
| LGDPP does not Granger cause LGCP | 4.58446*** | 0.0066 | LGCP does not Granger cause LGDPP | 3.46393*** | 0.0231 |
| Goffman | |||||
| LGDPP does not Granger cause LGC | 4.58359*** | 0.0066 | LGC does not Granger cause LGDPP | 3.96372** | 0.0131 |
| Null hypothesis | F-statistic | Null hypothesis | F-statistic | ||
|---|---|---|---|---|---|
| LGDP does not Granger cause LGC | 3.48292 | 0.0226 | LGC does not Granger cause LGDP | 6.12465 | 0.0013 |
| LGDPP does not Granger cause LGCP | 4.58446 | 0.0066 | LGCP does not Granger cause LGDPP | 3.46393 | 0.0231 |
| LGDPP does not Granger cause LGC | 4.58359 | 0.0066 | LGC does not Granger cause LGDPP | 3.96372 | 0.0131 |
Notes:
**Indicates the rejection of the null hypothesis of the existence of no Granger causation at a level of significance of 5%;
***is at a level of significance of 1%
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