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Suppose you have data on two economiC variables, X1 and X2. You are interested in learning whnether X2 causes, in Granger sense, X1. To test the hypothesis, you estimated a vivariate VAR(2) model. The estimates of the coefficients of the first equation of this vector autoregressive model are given below (where the values in parentheses are the standard errors of the associated coefficients): æ1,t = 0.23 + 0.64xit-1+ 0.21a1t-2 +0.41a2t-1+ 0.23r21-2 (9,31) (0.13) (0.17) (0.71) (0.22)

Suppose you have data on two economiC variables, X1 and X2. You are interested in learning whnether X2 causes, in Granger sense, X1. To test the hypothesis, you estimated a vivariate VAR(2) model. The estimates of the coefficients of the first equation of this vector autoregressive model are given below (where the values in parentheses are the standard errors of the associated coefficients): æ1,t = 0.23 + 0.64xit-1+ 0.21a1t-2 +0.41a2t-1+ 0.23r21-2 (9,31) (0.13) (0.17) (0.71) (0.22)

MATLAB: An Introduction with Applications
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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Suppose you have data on two economic variables, X1 and X2. You are interested in learning whether X2 causes, in Granger sense, X1. To test the hypothesis, you estimated a vivariate VAR(2) model. The estimates of the coefficients of the first equation of this vector autoregressive model are given below (where the values in parentheses are the standard errors of the associated coefficients): æ1,t = 0.23 + 0.64x1t-1 +0.2121,t-2+ 0.41a2t-1 + 0.23x2t-2 (0.71) (0.13) (0.17) (0.22) (0.31) Based on the provided information, please select the correct answer: O There is no evidence of Granger causality because none of the estimated coefficients associated with the lag of X2 is statistically significantly different from zero. O There is evidence of Granger causality because at least one of the estimated coefficients is statistically significantly different from zero. O There is evidence of Granger causality because at least one of the estimated coefficients associated with the lag of X2 is statistically significantly different from zero. O Insufficient information is provided to give a definitive answer regarding the Granger causality.
Transcribed Image Text:Suppose you have data on two economic variables, X1 and X2. You are interested in learning whether X2 causes, in Granger sense, X1. To test the hypothesis, you estimated a vivariate VAR(2) model. The estimates of the coefficients of the first equation of this vector autoregressive model are given below (where the values in parentheses are the standard errors of the associated coefficients): æ1,t = 0.23 + 0.64x1t-1 +0.2121,t-2+ 0.41a2t-1 + 0.23x2t-2 (0.71) (0.13) (0.17) (0.22) (0.31) Based on the provided information, please select the correct answer: O There is no evidence of Granger causality because none of the estimated coefficients associated with the lag of X2 is statistically significantly different from zero. O There is evidence of Granger causality because at least one of the estimated coefficients is statistically significantly different from zero. O There is evidence of Granger causality because at least one of the estimated coefficients associated with the lag of X2 is statistically significantly different from zero. O Insufficient information is provided to give a definitive answer regarding the Granger causality.
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