Table 5.
Results of Vector Error Correction (VEC) Model Selected.
| Explanatory variables |
Dependent variable |
|
|---|---|---|
| ΔLGDPSA |
ΔLELECSA |
|
| Co-integrating Eq | CointEq1 | CointEq2 |
| LGDPSA(−1) | 1 | 1 |
| LELECSA(−1) | −1.2085 (0.1431) [−8.4466] | −1.2085 (0.1431) [−8.4466] |
| C in co-integrating Eq | 2.6503 | 2.6503 |
| CointEq | −0.0524 (0.1012) [−0.5182] | 0.1339 (0.0468) [ 2.8610]** |
| ΔLGDPSA(−1) | −0.1483 (0.1956) [−0.7581] | −0.1255 (0.0905) [−1.38739] |
| ΔLELECSA(−1) | 0.3607 (0.3395) [1.0624] | −0.1084 (0.1570) [−0.6901] |
| C | 0.0239 (0.0131) [1.8332] | 0.0265 (0.0060) [4.3802] |
| Adjusted R2 | −0.0321 | 0.1329 |
| F-statistic | 0.61701 | 2.8898 |
| Log likelihood | 51.7299 | 81.0313 |
| Akaike AIC | −2.5121 | −4.0543 |
| Schwarz SC | −2.3397 | −3.8819 |
| Wald test | ||
| Null hypotheses | ΔLELECSA does not Granger cause ΔLGDPSA | ΔLGDPSA does not Granger cause ΔLELECSA |
| Chi-square χ2 statistics | 1.1288 | 1.9249 |
| Degree of freedom | 1 | 1 |
| Probability | 0.2880 | 0.1653 |
Notes: 1. The values in this table are the corresponding coefficient and numbers in parentheses () and brackets [] are the corresponding standard errors and t-values of the parameters, respectively. The parameter symbols of (−1) and (−2) denotes 1 lag value and 2 lag value of their own parameters, respectively.
2. The equivalent equations of ΔLGDPSA and ΔLELECSA are as follows:
ΔLGDPSA = −0.0524*(LGDPSA(−1) − 1.2085*LELECSA(−1) + 2.6502) − 0.1483*ΔLGDPSA(−1) + 0.3607*ΔLELECSA(−1) + 0.0239 ΔLELECSA = 0.1390*(LGDPSA(−1) − 1.2085*LELECSA(−1) + 2.6503) − 0.1255*ΔLGDPSA(−1) − 0.1083*ΔLELECSA(−1) + 0.0264. 3. In Wald test, * denotes the rejection of the null hypothesis at the 5 percent significance value.
4. In VECM, ** denotes the rejection of null hypothesis at the 5 percent significance value in co-integration equations. In VECM equations, the probability of the error correction term in ΔLGDPSA and ΔLELECSA equations by t-test is 0.6077 and 0.0072 respectively. It indicates that there is a long-term causality from LGDPSA to LELECSA (i.e. LGDPSA → LELECSA).