Pairwise Granger Causality Tests

Date: 05/07/13   Time: 22:27

Sample: 1993 2012

Lags: 1

  Null Hypothesis:

Obs

F-Statistic

Probability

  D(CK) does not Granger Cause HUILV

18

5.40700

0.03449

  HUILV does not Granger Cause D(CK)

1.48110

0.24240

Pairwise Granger Causality Tests

Date: 05/07/13   Time: 22:22

Sample: 1993 2012

Lags: 2

  Null Hypothesis:

Obs

F-Statistic

Probability

  D(CK) does not Granger Cause HUILV

17

2.14766

0.15948

  HUILV does not Granger Cause D(CK)

5.09859

0.02496

Pairwise Granger Causality Tests

Date: 05/07/13   Time: 22:49

Sample: 1993 2012

Lags: 3

  Null Hypothesis:

Obs

F-Statistic

Probability

  HUILV does not Granger Cause DCK

16

23.9036

0.00013

  DCK does not Granger Cause HUILV

4.64697

0.03160

Pairwise Granger Causality Tests

Date: 05/07/13   Time: 22:50

Sample: 1993 2012

Lags: 5

  Null Hypothesis:

Obs

F-Statistic

Probability

  HUILV does not Granger Cause DCK

14

27.0550

0.01064

  DCK does not Granger Cause HUILV

2.61611

0.22923

Dependent Variable: DCK

Method: Least Squares

Date: 05/07/13   Time: 22:53

Sample (adjusted): 1997 2012

Included observations: 16 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.  

C

11146.01

2461.845

4.527504

0.0011

HUILV(-1)

127.1962

16.56362

7.679250

0.0000

HUILV(-2)

-140.7633

17.23662

-8.166526

0.0000

DCK(-1)

0.606620

0.138941

4.366019

0.0014

DCK(-2)

1.028511

0.190590

5.396449

0.0003

DCK(-3)

1.054554

0.174938

6.028157

0.0001

R-squared

0.886798

    Mean dependent var

1186.176

Adjusted R-squared

0.830196

    S.D. dependent var

1455.310

S.E. of regression

599.6930

    Akaike info criterion

15.91071

Sum squared resid

3596317.

    Schwarz criterion

16.20043

Log likelihood

-121.2857

    F-statistic

15.66748

Durbin-Watson stat

2.079769

    Prob(F-statistic)

0.000188