Table 11.
Toda-Yamamoto causality analysis
| Excluded | Chi-sq | df | Prob. |
|---|---|---|---|
| Dependent variable: EFP | |||
| EU | 7.259774 | 2 | 0.0265** |
| GLO | 13.93814 | 2 | 0.0009* |
| RGDP | 12.54445 | 2 | 0.0019* |
| All | 30.33783 | 6 | 0.0000* |
| Dependent variable: EU | |||
| EFP | 23.75400 | 2 | 0.0000* |
| GLO | 2.415327 | 2 | 0.2989 |
| RGDP | 18.89115 | 2 | 0.0001* |
| All | 32.09976 | 6 | 0.0000* |
| Dependent variable: GLO | |||
| EFP | 25.31087 | 2 | 0.0000* |
| EU | 10.79425 | 2 | 0.0045* |
| RGDP | 0.272536 | 2 | 0.8726 |
| All | 27.15200 | 6 | 0.0001* |
| Dependent variable: RGDP | |||
| EFP | 9.494295 | 2 | 0.0087* |
| EU | 2.309845 | 2 | 0.3151 |
| GLO | 0.271829 | 2 | 0.8729 |
| All | 31.20426 | 6 | 0.0000* |
Author’s compilation. Asterisks (*, **, ***) stand for 1%, 5%, and 10% significance level of rejection, accordingly