Table 12. Pairwise Granger causality tests.
| Null Hypothesis: | Obs | F-Statistic |
|---|---|---|
| CEMIC does not Granger Cause GDPC | 1073 |
13.732*** |
| GDPC does not Granger Cause CEMIC | 47.520*** | |
| AIT does not Granger Cause GDPC | 965 |
16.161*** |
| GDPC does not Granger Cause AIT | 4.293*** | |
| CSE does not Granger Cause GDPC | 961 |
1.510 |
| GDPC does not Granger Cause CSE | 11.346*** | |
| CR does not Granger Cause GDPC | 1073 |
21.069*** |
| GDPC does not Granger Cause CR | 5.530*** | |
| AIT does not Granger Cause CEMIC | 965 |
56.007*** |
| CEMIC does not Granger Cause AIT | 6.348*** | |
| CSE does not Granger Cause CEMIC | 961 |
133.750*** |
| CEMIC does not Granger Cause CSE | 22.872*** | |
| CR does not Granger Cause CEMIC | 1073 |
51.272*** |
| CEMIC does not Granger Cause CR | 3.889*** | |
| CSE does not Granger Cause AIT | 863 |
0.498 |
| AIT does not Granger Cause CSE | 3.675*** | |
| CR does not Granger Cause AIT | 965 |
4.190*** |
| AIT does not Granger Cause CR | 3.319** | |
| CR does not Granger Cause CSE | 961 |
0.009 |
| CSE does not Granger Cause CR | 0.929 |
Source: Computation by authors. The lag length was selected by Schwarz Info criterion.
Note: Please see, Table 2 for the variable’s definition
*** specifies the statistically significant at 1% levels.
** specifies the statistically significant at 5% levels.
* specifies the statistically significant at 10% levels.