Info

Do not reject

Note these features of the preceding results of the F test: Up to six lags, there is bilateral causality between money supply and interest rate. However, at eight lags, there is no statistically discernible relationship between the two variables. This reinforces the point made earlier that the outcome of the Granger test is sensitive to the number of lags introduced in the model.

58R. W. Hafer, "The Role of Fiscal Policy in the St. Louis Equation," Review, Federal Reserve Bank of St. Louis, January 1982, pp. 17-22. See his footnote 12 for the details of the procedure.

Gujarati: Basic I III. Topics in Econometrics I 17. Dynamic Econometric I I © The McGraw-Hill

Econometrics, Fourth Models: Autoregressive Companies, 2004 Edition and Distributed-Lag

Models

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