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Table 6 Result of VECM Granger causality test based on ARDL

From: The impact of macroeconomic factors on food price inflation: an evidence from India

Dependent variable

Direction of causality

Short-run F-statistics (p-values)

Long-run [t-statistics]

\(\Delta lnFP\)

\(\Delta lnY\)

\(\Delta lnMS\)

\(\Delta lnEX\)

\(\Delta lnGF\)

\(\Delta lnNFG\)

\(\Delta lnAW\)

\({ECM}_{T}(-1)\)

\(\Delta lnFP\)

 

12.987***

(0.000)

0.337

(0.562)

25.481***

(0.000)

3.583*

(0.060)

3.272*

(0.070)

1.748

(0.188)

0.124

[0.353]

\(\Delta lnY\)

11.232***

(0.000)

 

0.902

(0.343)

1.603

(0.204)

2.807*

(0.063)

0.438

(0.509)

1.182

(0.278)

2.85E−15 [3.637]

\(\Delta lnMS\)

21.511***

(0.000)

0.195

(0.659)

 

24.566***

(0.000)

14.172***

(0.000)

9.510**

(0.002)

2.942*

(0.088)

−2.23E−15***

[−3.478]

\(\Delta lnEX\)

14.696***

(0.000)

0.292

(0.589)

1.204

(0.302)

 

0.092

(0.761)

1.670

(0.198)

1.843

(0.162)

3.80E−15

[4.511]

\(\Delta lnGF\)

1.926

(0.1673)

28.554***

(0.000)

0.316

(0.574)

4.444**

(0.036)

 

0.545

(0.461)

1.847

(0.176)

−2.52E−15 ***

[−2.967]

\(\Delta lnNFG\)

17.869***

(0.000)

16.223***

(0.000)

6.564***

(0.011)

9.512***

(0.002)

11.371***

(0.001)

 

0.073

(0.786)

−7.07E−16***

[−2.467]

\(\Delta lnAW\)

16.200***

(0.000)

35.767***

(0.000)

8.100***

(0.005)

5.073**

(0.025)

3.852**

(0.051)

29.711***

(0.000)

 

−1.42E−15

[1.135]

  1. *, ** and *** indicate significance at the 10%, 5% and 1% significance levels, respectively