H0

Lags

F-Statistic

P-value

Decision

e_t does not Granger caused by (y − y^*)

3

5.20846

0.0017***

Reject H0

e_t does not Granger caused by (m − m^*)

3

2.38083

0.0704*

Reject H0

e_t does not Granger caused by (i − i^*)

3

3.07468

0.0285**

Reject H0