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  • VAR Granger Causality

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    Aliya 02
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    This document reports the results of Granger causality tests between the changes in log GDP of Turkey (D(LNGDPTURK)), changes in log industrial production of Turkey (D(LNIHRACTURK)), and changes in log real effective exchange rate of Turkey (D(LNREERTURK)) over the period of 2007Q1 to 2021Q4. The tests find that changes in industrial production Granger cause changes in GDP, but changes in the real exchange rate do not Granger cause changes in GDP. Additionally, changes in the real exchange rate Granger cause changes in industrial production.

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    This document reports the results of Granger causality tests between the changes in log GDP of Turkey (D(LNGDPTURK)), changes in log industrial production of Turkey (D(LNIHRACTURK)), and changes in log real effective exchange rate of Turkey (D(LNREERTURK)) over the period of 2007Q1 to 2021Q4. The tests find that changes in industrial production Granger cause changes in GDP, but changes in the real exchange rate do not Granger cause changes in GDP. Additionally, changes in the real exchange rate Granger cause changes in industrial production.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    2 views1 page

    VAR Granger Causality

    Uploaded by

    Aliya 02
    This document reports the results of Granger causality tests between the changes in log GDP of Turkey (D(LNGDPTURK)), changes in log industrial production of Turkey (D(LNIHRACTURK)), and changes in log real effective exchange rate of Turkey (D(LNREERTURK)) over the period of 2007Q1 to 2021Q4. The tests find that changes in industrial production Granger cause changes in GDP, but changes in the real exchange rate do not Granger cause changes in GDP. Additionally, changes in the real exchange rate Granger cause changes in industrial production.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    VAR Granger Causality/Block Exogeneity Wald Tests

    Date: 05/17/23 Time: 17:13


    Sample: 2007Q1 2021Q4
    Included observations: 52

    Dependent variable: D(LNGDPTURK)

    Excluded Chi-sq df Prob.

    D(LNIHRACTURK)  21.99962 7  0.0025


    D(LNREERTURK)  13.53637 7  0.0601

    All  32.39009 14  0.0035

    Dependent variable: D(LNIHRACTURK)

    Excluded Chi-sq df Prob.

    D(LNGDPTURK)  8.729082 7  0.2727


    D(LNREERTURK)  7.993066 7  0.0432

    All  18.61935 14  0.1800

    Dependent variable: D(LNREERTURK)

    Excluded Chi-sq df Prob.

    D(LNGDPTURK)  16.54861 7  0.0206


    D(LNIHRACTURK)  8.721180 7  0.2733

    All  21.05499 14  0.1002

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