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
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Question
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: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.
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
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.
EquationExcludedchi squareddftext Prob end text greater than chi squared
1st Equation: Dependent Variable: Dtrade

DtradeDrex10.72120.034
DtradeDiipuk13.333120.035
DtradeDiipus13.719120.319
DtradeDoilpr27.028120.009
DtradeALL61.616480.09





2nd Equation: Dependent Variable: Drex

DrexDtrade0.797120.053
DrexDiipu9.646120.074
DrexDiipu3.741120.022
DrexDoilpr3.233120.352
DrexALL9.079480.003





3rd Equation: Dependent Variable: Diipuk

DiipukDtrade12.81120.383
DiipukDrex9.1439120.691
DiipukDiipus16.191120.183
DiipukDoilpr16.563120.167
DiipukALL55.94480.201





4th Equation: Dependent Variable: Diipus

DiipusDtrade10.43120.578
DiipusDrex17.203120.142
DiipusDiipuk27.782120.006
DiipusDoilpr17.83120.121
DiipusALL77.076480.005





5th Equation: Dependent Variable: Doilpr

DoilprDtrade8.2979120.761
DoilprDrex14.613120.263
DoilprDiipuk14.898120.247
DoilprDiipus29.551120.003
DoilprALL70.335480.019
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