Table 5.
Results of Dumitrescu-Hurlin causality test.
| Null Hypothesis | W-Bar | Z-BAR | P-value |
|---|---|---|---|
| lnEFP≠> lnHO | 1.9645 | 2.9729∗∗∗ | 0.0030 |
| lnHO ≠> lnEFP | 0.2952 | -2.1725∗∗ | 0.0298 |
| lnBC ≠> lnHO | 1.6772 | 2.0872∗∗ | 0.0369 |
| lnHO ≠> lnBC | 0.3695 | -1.9434∗ | 0.0520 |
| lnHC ≠> lnHO | 0.5917 | -1.2584 | 0.2082 |
| lnHO ≠> lnHC | 0.3381 | -2.0400∗∗ | 0.0413 |
| lnEC ≠> lnHO | 2.4869 | 4.5829∗∗∗ | 0.0000 |
| lnHO ≠> lnEC | 0.2976 | -2.1649∗∗ | 0.0304 |
| lnBC ≠> lnEFP | 1.6164 | 1.8999∗ | 0.0575 |
| lnEFP ≠> lnBC | 1.8652 | 2.6666∗∗∗ | 0.0077 |
| lnHC ≠> lnEFP | 0.2242 | -2.3913∗∗ | 0.0168 |
| lnEFP ≠> lnHC | 2.0267 | 3.1645∗∗∗ | 0.0016 |
| lnEC ≠> lnEFP | 1.2421 | 0.7461 | 0.4556 |
| lnEFP ≠> lnEC | 1.2541 | 0.7833 | 0.4335 |
| lnHC ≠> lnBC | 0.1683 | -2.5635∗∗ | 0.0104 |
| lnBC ≠> lnHC | 1.8594 | 2.6489∗∗ | 0.0081 |
| lnEC ≠> lnBC | 1.2602 | 0.8020 | 0.4226 |
| lnBC ≠> lnEC | 1.7411 | 2.2842∗∗ | 0.0224 |
| lnEC ≠> lnHC | 1.9749 | 3.0047∗∗∗ | 0.0027 |
| lnHC ≠> lnEC | 0.0981 | -2.7798∗∗∗ | 0.0054 |
Note: ∗∗∗, ∗∗ and ∗ indicate rejection of the null hypotheses of no Granger causality at the 1%, 5% and 10% significant levels respectively. Lag(1) is used.