Online Appendix

Food security and democracy: do inclusive institutions matter?

Domenico Rossignoli and Sara Balestri
Canadian Journal of Development Studies /Revue canadienne d’études du développement

Granger causality test

In our article we hypothesise that a democratisation process Granger-causes food security

improvements (see hypothesis of research in "Exploring temporal dynamics" section). Granger
(1969) has defined a concept of causality that can be applied in time-series analysis. The
concept is built on the simple idea that a cause cannot come after the effect. Therefore, causality
in the sense proposed by Granger means that given an hypothesised relationship between two
variables (in this case democracy and food security), future values of the dependent variable
(food security) are better predicted by jointly considering the past value of the dependent
variable itself AND the past values of the independent variable (democracy), rather than by the
past values of the dependent variables alone.

Technically, this means that the expected value of a dependent variable (in this case food
security) conditional to its lagged values is different from the expected value of the same
dependent variable conditional to its lagged values and to lagged values of an independent
variable. Let label food security “FI” and democracy “DEMO”, then:

𝐸(𝐹𝐼𝑡 |𝐹𝐼𝑡−𝑘 , 𝐷𝐸𝑀𝑂𝑡−𝑘 ) ≠ 𝐸(𝐹𝐼𝑡 |𝐹𝐼𝑡−𝑘 )

It is worthwhile stressing that Granger causality is a substantially different concept than

causality tout court. Nevertheless, it is a stronger relationship than mere correlation, since it
allows predicting future values of dependent variables with past realisation of a covariate. In
our article, we show that past levels of democracy have predictive power on current realisations
of Average Dietary Energy Supply Adequacy (ADESA) and Prevalence of Undernourishment
(PoU). See Greene (2003, 592–593).

We performed the Granger-causality test adopting a Panel Vector Autoregressive (PVAR)

model. First, we tested whether the panels contain a unit-root, by adopting the Im-Pesaran-Shin
test. As Table A1 shows, the null hypothesis that all panels contain a unit-root can be rejected
at the highest level of significance. Therefore, a PVAR model is suitable to perform our
analysis.

Table A1. Im-Pesaran-Shin unit-root tests.

W-t-bar p-value Lags Countries Avg. no. of

periods
ADESA -3.198 0.001 0.77 115 22.97
PoU -17.581 0.000 0.92 115 22.97
Notes: AR parameter is panel-specific; panel means and time trend included;
cross-sectional means removed. Null hypothesis: All panels contain unit
roots.

Table A2 (also displayed in the main article text as Table 2) reports the results of the PVAR
when the indicator for democracy is Polity2. The left-hand side panel refers to the relationship
between democracy and food availability (measured by ADESA); the right-hand side panel
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refers to democracy and food access (measured by PoU). Each panel reports the results of two
equations in which alternatively the food security indicator ADESA and the indicator of
democracy PoU are included as dependent variables, while their lags are included as
independent variables in both equations. This is the standard formulation of a PVAR model.

Table A2. Food security and Polity index of democracy, PVARa estimation results.

(1) (2)
ADESA Polity2 PoU Polity2
Lagged ADESA 0.925*** 0.000 Lagged PoU 0.915*** 0.000
0.009 0.001 0.009 0.001
Lagged Polity2 1.741*** 0.779*** Lagged Polity2 -3.726*** 0.731***
0.670 0.033 0.893 0.063
Obs. 2162 Obs. 2162
Countries 106 Countries 106
Avg-T. 20.4 Avg-T. 20.4
Note: aPanel Vector Autoregression, GMM estimation (GMM weight matrix is robust).
Levels of significance: * 0.10; ** 0.05; *** 0.01.

As Table A2 shows, the lag of Polity2 is significant as a predictor of both ADESA and PoU:
hence Granger-causality can be expected. Conversely, the lagged values of ADESA and PoU
are never significant in the Polity2 equations: hence reverse Granger-causality can be excluded.

Table A3. Food security and Polity index of democracy, Granger-causality test.

PVARa Dep. Var. Excluded chi2 df Prob > chi2

ADESA Polity2 6.757*** 1 0.01
1
Polity2 ADESA 0.534 1 0.47
PoU Polity2 17.429*** 1 0.00
2
Polity2 PoU 0.603 1 0.44
a
Notes: Panel VAR-Granger causality Wald test. Null-hypothesis: Excluded
variable does not Granger-cause Equation variable. Hypothesis a: Excluded
variable Granger-causes Equation variable.
Levels of significance: * 0.10; ** 0.05; *** 0.01.

Table A3 (also displayed in the main article text as Table 3) reports the results of the more
direct Granger tests based upon the estimates of Table A2. As the table shows, the statistical
test we performed allows to reject the absence of Granger causality at the highest level of
significance (p-value<001), meaning that this absence is unlikely to occur by chance, rather it
is due to the actual pattern of the data. This result is confirmed and strengthened by the absence
of the reverse-causality significance: in fact the same test with inverse variables (that is, PoU
Granger-causes Polity2 and ADESA Granger-causes Polity2) cannot reject the null hypothesis.

As a robustness check we performed the same analysis including two alternative measures of
democracy as the dependent variable: the Polyarchy index provided by V-Dem (Table A4) and
the Freedom House Civil Liberties score (Table A5).

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Table A4. Food security and Polyarchy index, Granger-causality test.

(3) (4)
ADESA Polyarchy PoU Polyarchy

Lagged ADESA 0.937*** -0.001* Lagged PoU 0.897*** 0.001

0.010 0.000 0.018 0.001
Lagged Polyarchy 1.520§ 0.887*** Lagged Polyarchy 9.143*** 0.961***
0.965 0.022 3.448 0.088
Obs. 2220 Obs. 2220
Countries 106 Countries 106
Avg-T. 20.9 Avg-T. 20.9
Note: Panel Vector Autoregression, GMM estimation (GMM weight matrix is robust).
Source for Polyarchy data: https://v-dem.net/.
Levels of significance: § 0.15; * 0.10; ** 0.05; *** 0.01.

Table A5. Food security and Freedom House civil liberties score, Granger-causality test.

(5) (6)
ADESA FH CLa PoU FH CLa

Lagged ADESA 0.925*** 0.001** Lagged PoU 0.902*** -0.002**

0.010 0.000 0.014 0.001
Lagged FH CL 2.026* 0.747*** Lagged FH CL -7.490*** 0.595***
1.001 0.039 2.148 0.113
Obs. 2384 Obs. 2384
Countries 115 Countries 115
Avg-T. 20.7 Avg-T. 20.7
a
Notes: FH CL=Freedom House civil liberties score. Panel Vector Autoregression,
GMM estimation (GMM weight matrix is robust). Source for Freedom House scores:
https://freedomhouse.org/report/freedom-world-aggregate-and-subcategory-scores
Levels of significance: * 0.10; ** 0.05; *** 0.01.

Impulse Response Function

A further possibility of investigating the dynamic relationship between two or more variables
is provided by the Impulse Response Function (IRF). Empirical works often aim at
investigating the response of one variable to an impulse in another variable. This kind of
analysis requires that the dynamic relationship between these variables have already been
estimated through a Vector Auto-Regressive model, in order to assess the effect of lagged
values on current values of our dependent variable. In this article, in order to perform an IRF
with panel data (that is, having both a cross-sectional and a time-series dimension) we first
implement a Panel Vector Autoregressive Regression (PVAR), run separately for each food
security indicator and Polity2, including one lag of each variable in the estimated models.
PVAR is an estimation technique that allows exploiting the features of time-series analysis in
panel datasets. See Love and Ziccino (2006) for further reference on this technique.

Once the PVAR has been performed, estimates of the error components are available. These
errors terms are used to implement the IRF, in order to investigate the response of our dependent
variable of interest at time t (for instance ADESA at time t) to a one-time impulse in the

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independent variable of interest (in this case democracy, called the impulse variable).
Therefore, this analytical tool allows illustrating the effect of a one standard deviation shock on
the predicted values of the response variable. In our article, in order to facilitate the
understanding of the dynamics and to give a visual impression of the relationship between
democracy and food security indicators, we provide graphical representation of two IRFs
(depicted in Figure 5, in the main article text): in both graphs, democracy is the impulse
variable, that is, the variable whose shock is expected to affect the response variable; the
response variables are in turn ADESA (left panel) and PoU (right panel). The overall
interpretation of the figure is straightforward: positive shocks in democracy, positively affect
both food security indicators in the following period.

Table A6. Countries included in our sample.

Afghanistan Georgia Namibia
Algeria Ghana Nepal
Angola Guatemala Nicaragua
Argentina Guinea Niger
Armenia Guinea-Bissau Nigeria
Azerbaijan Guyana Pakistan
Bangladesh Haiti Panama
Barbados Honduras Paraguay
Benin India Peru
Bolivia Indonesia Philippines
Botswana Iran Rwanda
Brazil Iraq Saudi Arabia
Burkina Faso Jamaica Senegal
Cambodia Jordan Sierra Leone
Cameroon Kazakhstan Solomon Island
Cape Verde Kenya South Africa
Central African Republic Korea, People's Republic of Sri Lanka
Chad Korea, Republic of Sudan
Chile Kyrgyzstan Suriname
China Laos Swaziland
Colombia Lebanon Tajikistan
Congo, Republic of Lesotho Tanzania
Costa Rica Liberia Thailand
Cote d`Ivoire Madagascar Togo
Cuba Malawi Trinidad & Tobago
Djibouti Malaysia Tunisia
Dominican Republic Maldives Turkey
East Timor Mali Turkmenistan
Ecuador Mauritania Uganda
Egypt Mauritius Uruguay
El Salvador Mexico Uzbekistan
Ethiopia Mongolia Venezuela
Fiji Morocco Vietnam
Gabon Mozambique Yemen
Gambia, The Myanmar (Burma) Zambia
Zimbabwe
References
Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-
spectral Methods.” Econometrica 37 (3): 424–438. doi:10.2307/1912791.
Greene, W. H. 2003. Econometric Analysis. 5th ed. Pearson.
Love, I., and L. Ziccino. 2006. “Financial Development and Dynamic Investment Behavior:
Evidence from Panel VAR.” The Quarterly Review of Economics and Finance 46 (2): 190–
210. doi: 10.1016/j.qref.2005.11.007.