on 5. We ran a Vector-autoregresive model with five variables: with dtrade (change in trade balance), drex (change in real exchange rate), diipuk (change in Index of UK Industrial production), diipus ((change in Index of US Industrial production) and doilpr (change in Index of Oil price Index) and the result from Granger Causality test is as follows: Granger causality Tests Results: Equati Excl uded 2 df x² 1st Equation: Dependent Variable: Dtrade Dtrade Dtrade k Dtrade S Dtrade Drex e Drex Drex Drex k Drex Diipu Diipu S Doilpr ALL Dtrad chi Diipu Diipu Doilpr 10. 72 Dtrade 48 2nd Equation: Dependent Variable: Drex 13. 333 13. 719 27. 028 61. 616 0.7 97 9.6 46 3.7 41 12 3.2 33 12 12 12 12 12 12 12 Prob > 0.034 0.345 0.319 0.008 0.09 0.053 0.074 0.022 0.352
on 5. We ran a Vector-autoregresive model with five variables: with dtrade (change in trade balance), drex (change in real exchange rate), diipuk (change in Index of UK Industrial production), diipus ((change in Index of US Industrial production) and doilpr (change in Index of Oil price Index) and the result from Granger Causality test is as follows: Granger causality Tests Results: Equati Excl uded 2 df x² 1st Equation: Dependent Variable: Dtrade Dtrade Dtrade k Dtrade S Dtrade Drex e Drex Drex Drex k Drex Diipu Diipu S Doilpr ALL Dtrad chi Diipu Diipu Doilpr 10. 72 Dtrade 48 2nd Equation: Dependent Variable: Drex 13. 333 13. 719 27. 028 61. 616 0.7 97 9.6 46 3.7 41 12 3.2 33 12 12 12 12 12 12 12 Prob > 0.034 0.345 0.319 0.008 0.09 0.053 0.074 0.022 0.352
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question

Transcribed Image Text:Drex
48
3rd Equation: Dependent Variable: Diipuk
Doilpre
ALL
Doilpr
Doilpr k
Doilpr S
Doilpr
Dtrad
Diipuk e
Diipuk Drex
Diipu
Diipuk s
Diipuk Doilpr
Diipuk ALL
4th Equation: Dependent Variable: Diipus
Dtrad
Diipus e
Diipus
Diipus k
Diipus
Diipus
5th Equation: Dependent Variable: Doilpr
Dtrad
Drex
Diipu
Doilpr
ALL
Drex
Diipu
9.0
79
Diipu
ALL
12.
81
9.1
439
16.
191
16.
563
55.
94
10.
43
17.
203
27.
782
17.
83
77.
076
8.2
979
14.
613
14.
898
29.
551
70.
335
12
12
12
12
48
12
12
12
12
48
12
12
12
12
48
0.003
0.383
0.691
0.183
0.167
0.201
0.578
0.142
0.006
0.121
0.005
0.761
0.263
0.247
0.003
0.019
Interpret the findings of the above result in detail with respect to all the equations and all
the variables.

Transcribed Image Text:5. We ran a Vector-autoregresive model with five variables: with dtrade (change in
trade balance), drex (change in real exchange rate), diipuk (change in Index of UK
Industrial production), diipus ((change in Index of US Industrial production) and
doilpr (change in Index of Oil price Index) and the result from Granger Causality test
is as follows:
Granger causality Tests Results:
on
Equati
Dtrade
2
df x²
1st Equation: Dependent Variable: Dtrade
Dtrade k
Dtrade
Dtrade
Excl
uded
Drex
Drex
k
Drex S
Drex
Diipu
Diipu
Doilpr
ALL
Dtrad
Diipu
chi
Diipu
Doilpr
10.
72
Dtrade
48
2nd Equation: Dependent Variable: Drex
Drex e
13.
333
13.
719
27.
028
61.
616
0.7
97
9.6
46
3.7
41
12
3.2
33
12
12
12
12
12
12
12
Prob >
0.034
0.345
0.319
0.008
0.09
0.053
0.074
0.022
0.352
Expert Solution

Step 1: Write the given information.
Equation | Excluded | df | ||
1st Equation: Dependent Variable: Dtrade | ||||
Dtrade | Drex | 10.72 | 12 | 0.034 |
Dtrade | Diipuk | 13.333 | 12 | 0.035 |
Dtrade | Diipus | 13.719 | 12 | 0.319 |
Dtrade | Doilpr | 27.028 | 12 | 0.009 |
Dtrade | ALL | 61.616 | 48 | 0.09 |
2nd Equation: Dependent Variable: Drex | ||||
Drex | Dtrade | 0.797 | 12 | 0.053 |
Drex | Diipu | 9.646 | 12 | 0.074 |
Drex | Diipu | 3.741 | 12 | 0.022 |
Drex | Doilpr | 3.233 | 12 | 0.352 |
Drex | ALL | 9.079 | 48 | 0.003 |
3rd Equation: Dependent Variable: Diipuk | ||||
Diipuk | Dtrade | 12.81 | 12 | 0.383 |
Diipuk | Drex | 9.1439 | 12 | 0.691 |
Diipuk | Diipus | 16.191 | 12 | 0.183 |
Diipuk | Doilpr | 16.563 | 12 | 0.167 |
Diipuk | ALL | 55.94 | 48 | 0.201 |
4th Equation: Dependent Variable: Diipus | ||||
Diipus | Dtrade | 10.43 | 12 | 0.578 |
Diipus | Drex | 17.203 | 12 | 0.142 |
Diipus | Diipuk | 27.782 | 12 | 0.006 |
Diipus | Doilpr | 17.83 | 12 | 0.121 |
Diipus | ALL | 77.076 | 48 | 0.005 |
5th Equation: Dependent Variable: Doilpr | ||||
Doilpr | Dtrade | 8.2979 | 12 | 0.761 |
Doilpr | Drex | 14.613 | 12 | 0.263 |
Doilpr | Diipuk | 14.898 | 12 | 0.247 |
Doilpr | Diipus | 29.551 | 12 | 0.003 |
Doilpr | ALL | 70.335 | 48 | 0.019 |
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