The following are the EViews results of Pairwise Granger Causality tests. Table 3: Pairwise Granger Causality...
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The following are the EViews results of Pairwise Granger Causality tests. Table 3: Pairwise Granger Causality Tests Sample: 2000Q1 2021Q4 Lags: 2 Null Hypothesis: LX1 does not Granger Cause LY LY does not Granger Cause LX1 LX2 does not Granger Cause LY LY does not Granger Cause LX2 LX3 does not Granger Cause LY LY does not Granger Cause LX3 LX4 does not Granger Cause LY LY does not Granger Cause LX4 LX2 does not Granger Cause LX1 LX1 does not Granger Cause LX2 LX3 does not Granger Cause LX1 LX1 does not Granger Cause LX3 LX4 does not Granger Cause LX1 LX1 does not Granger Cause LX4 LX3 does not Granger Cause LX2 LX2 does not Granger Cause LX3 LX4 does not Granger Cause LX2 LX2 does not Granger Cause LX4 LX4 does not Granger Cause LX3 LX3 does not Granger Cause LX4 Obs F-Statistic 88 88 888 88 88 88888 88 88 88 88 4.11329 4.88106 1.04149 2.52320 3.46119 2.11678 5.04156 2.47448 0.88966 3.40036 6.63500 8.49161 6.62462 4.78347 2.11027 1.00378 2.02412 1.83541 3.65490 3.15128 Prob. 0.0413 0.0262 ----- 0.3806 0.1186 0.0624 0.1600 0.0239 0.1229 0.4344 0.0649 0.0103 0.0044 0.0104 0.0277 0.1608 0.3932 0.1717 0.1986 0.0550 0.0766 a. Using 5% significance as the guide, interpret the pair-wise Granger causality. [4 marks] b. Draw the DIAGRAM FORM by showing clearly the causality directions as either uni-directional or bi-directional. [4 marks] The following are the EViews results of Pairwise Granger Causality tests. Table 3: Pairwise Granger Causality Tests Sample: 2000Q1 2021Q4 Lags: 2 Null Hypothesis: LX1 does not Granger Cause LY LY does not Granger Cause LX1 LX2 does not Granger Cause LY LY does not Granger Cause LX2 LX3 does not Granger Cause LY LY does not Granger Cause LX3 LX4 does not Granger Cause LY LY does not Granger Cause LX4 LX2 does not Granger Cause LX1 LX1 does not Granger Cause LX2 LX3 does not Granger Cause LX1 LX1 does not Granger Cause LX3 LX4 does not Granger Cause LX1 LX1 does not Granger Cause LX4 LX3 does not Granger Cause LX2 LX2 does not Granger Cause LX3 LX4 does not Granger Cause LX2 LX2 does not Granger Cause LX4 LX4 does not Granger Cause LX3 LX3 does not Granger Cause LX4 Obs F-Statistic 88 88 888 88 88 88888 88 88 88 88 4.11329 4.88106 1.04149 2.52320 3.46119 2.11678 5.04156 2.47448 0.88966 3.40036 6.63500 8.49161 6.62462 4.78347 2.11027 1.00378 2.02412 1.83541 3.65490 3.15128 Prob. 0.0413 0.0262 ----- 0.3806 0.1186 0.0624 0.1600 0.0239 0.1229 0.4344 0.0649 0.0103 0.0044 0.0104 0.0277 0.1608 0.3932 0.1717 0.1986 0.0550 0.0766 a. Using 5% significance as the guide, interpret the pair-wise Granger causality. [4 marks] b. Draw the DIAGRAM FORM by showing clearly the causality directions as either uni-directional or bi-directional. [4 marks]
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Answer rating: 100% (QA)
a Using 5 significance as the guide we can interpret the pairwise Granger causality as follows For LX1 and LY Based on the Fstatistic of 411329 and pv... View the full answer
Related Book For
Applied Regression Analysis and Other Multivariable Methods
ISBN: 978-1285051086
5th edition
Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg
Posted Date:
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