William Davidson Institute Working Paper 402
Appendix A. Main econometric tests
1. Granger causality tests:
Sample: 1997:01 2001:03
Lags: 4__________________
|
Null Hypothesis:_______________________ |
Obs |
F-Statistic |
Probability |
|
DVN does not Granger Cause INF |
51 |
31.7794 |
3.3E-12 |
|
INF does not Granger Cause DVN |
_ 1.74375 |
_ 0.15843 | |
|
Sample: 1997:01 2001:03 Lags: 4______________________________________________________________________ | |||
|
Null Hypothesis:_______________________ |
Obs |
F-Statistic |
Probability |
|
DRM does not Granger Cause INF |
51 |
5.45475 |
0.00125 |
|
INF does not Granger Cause DRM |
0.24376 |
0.91183 | |
|
—____________ |
—____________ | ||
2. The VAR ESTIMATE
Included observations: 51
Standard errors & t-statistics in parentheses
|
DRM |
INF |
DVN | |
|
DRM(-1) |
-0.269374 |
0.113136 |
0.540687 |
|
(0.17023) |
(0.08314) |
(0.20360) | |
|
(-1.58239) |
(1.36074) |
(2.65569) | |
|
DRM(-2) |
-0.125972 |
0.089478 |
0.263304 |
|
(0.18591) |
(0.09080) |
(0.22235) | |
|
(-0.67758) |
(0.98542) |
(1.18418) | |
|
DRM(-3) |
0.094973 |
0.190977 |
0.429138 |
|
(0.17674) |
(0.08632) |
(0.21138) | |
|
(0.53737) |
(2.21242) |
(2.03021) | |
|
DRM(-4) |
-0.170300 |
0.121228 |
-0.243264 |
|
(0.19578) |
(0.09562) |
(0.23414) | |
|
(-0.86988) |
(1.26783) |
(-1.03895) | |
|
INF(-1) |
0.531374 |
0.113846 |
1.153003 |
|
(0.29812) |
(0.14561) |
(0.35655) | |
|
(1.78240) |
(0.78187) |
(3.23376) | |
|
INF(-2) |
0.210050 |
0.439586 |
-0.394660 |
|
(0.29914) |
(0.14610) |
(0.35777) | |
|
(0.70218) |
(3.00876) |
(-1.10312) | |
|
INF(-3) |
-0.040200 |
0.080365 |
-0.547886 |
|
(0.31606) |
(0.15436) |
(0.37800) | |
|
(-0.12719) |
(0.52061) |
(-1.44943) | |
|
INF(-4) |
0.083056 |
-0.166512 |
-0.174799 |
|
(0.16214) |
(0.07919) |
(0.19392) | |
|
(0.51225) |
(-2.10269) |
(-0.90141) | |
|
DVN(-1) |
0.187730 |
0.370855 |
0.642119 |
|
(0.14123) |
(0.06898) |
(0.16891) | |
|
(1.32921) |
(5.37628) |
(3.80146) |
27
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