ADF

Null Hypothesis: D(RICE) has a unit root

Trend Specification: Intercept only
Break Specification: Intercept only
Break Type: Innovational outlier

Break Date: 2014M07

Break Selection: Minimize Dickey-Fuller t-statistic
Lag Length: 0 (Automatic - based on Schwarz information criterion,
maxlag=12)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.475457 < 0.01

Test critical values: 1% level -4.949133
5% level -4.443649
10% level -4.193627

*Vogelsang (1993) asymptotic one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RICE)
Method: Least Squares
Date: 02/07/17 Time: 02:12
Sample (adjusted): 2010M03 2016M12
Included observations: 82 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(RICE(-1)) 0.355656 0.099506 3.574225 0.0006

C 0.104095 0.053919 1.930570 0.0572
INCPTBREAK -0.182525 0.089136 -2.047723 0.0440
BREAKDUM 1.045706 0.383551 2.726381 0.0079

R-squared 0.283445 Mean dependent var 0.079390

Adjusted R-squared 0.255885 S.D. dependent var 0.431086
S.E. of regression 0.371864 Akaike info criterion 0.906974
Sum squared resid 10.78607 Schwarz criterion 1.024375
Log likelihood -33.18595 Hannan-Quinn criter. 0.954109
F-statistic 10.28471 Durbin-Watson stat 1.781040
Prob(F-statistic) 0.000009
Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.436 0.436 16.373 0.000

2 0.080 -0.136 16.931 0.000
3 -0.061 -0.052 17.262 0.001
4 0.055 0.147 17.531 0.002
5 0.119 0.041 18.816 0.002
6 0.146 0.074 20.780 0.002
7 0.069 -0.012 21.222 0.003
8 -0.050 -0.084 21.455 0.006
9 -0.218 -0.196 25.995 0.002
10 -0.010 0.210 26.003 0.004
11 0.088 -0.019 26.759 0.005
12 0.065 -0.048 27.173 0.007
13 -0.009 0.047 27.182 0.012
14 -0.152 -0.174 29.545 0.009
15 -0.163 -0.019 32.315 0.006
16 -0.181 -0.131 35.748 0.003
17 -0.153 -0.109 38.257 0.002
18 -0.037 0.046 38.409 0.003
19 -0.107 -0.092 39.681 0.004
20 -0.088 0.060 40.553 0.004
21 -0.119 -0.082 42.156 0.004
22 -0.035 0.087 42.296 0.006
23 0.047 0.006 42.554 0.008
24 0.116 0.107 44.163 0.007
25 0.041 -0.070 44.370 0.010
26 -0.105 -0.174 45.724 0.010
27 -0.193 0.000 50.428 0.004
28 0.091 0.210 51.483 0.004
29 0.140 -0.041 54.053 0.003
30 0.119 -0.013 55.937 0.003
31 -0.040 -0.087 56.155 0.004
32 -0.147 -0.128 59.147 0.002
33 -0.209 -0.162 65.337 0.001
34 -0.104 -0.021 66.886 0.001
35 0.042 -0.053 67.144 0.001
36 0.104 0.031 68.782 0.001
37 -0.020 0.113 68.842 0.001
38 -0.101 -0.088 70.426 0.001
39 -0.153 -0.083 74.173 0.001
40 -0.075 -0.027 75.108 0.001
41 0.066 0.049 75.834 0.001
42 0.131 0.065 78.766 0.001
43 -0.009 -0.146 78.780 0.001
44 -0.106 0.037 80.808 0.001
45 -0.092 0.081 82.365 0.001
46 -0.039 -0.103 82.657 0.001
47 -0.009 -0.065 82.672 0.001
48 0.053 -0.066 83.245 0.001
49 0.046 0.006 83.676 0.001
50 -0.009 -0.040 83.694 0.002
51 -0.022 0.077 83.805 0.003
52 0.057 -0.096 84.547 0.003
53 0.086 -0.052 86.298 0.003
54 0.045 0.070 86.791 0.003
55 0.005 0.028 86.796 0.004
56 0.003 -0.053 86.799 0.005
57 0.002 -0.016 86.800 0.007
58 -0.015 -0.056 86.860 0.008
59 0.023 0.034 87.020 0.010
60 0.060 -0.023 88.128 0.010
Pairwise Granger Causality Tests
Date: 02/07/17 Time: 00:22
Sample: 2010M01 2016M12
Lags: 12

Null Hypothesis: Obs F-Statistic Prob.

FUEL does not Granger Cause RICE 70 0.21421 0.9970

RICE does not Granger Cause FUEL 1.06317 0.4122

FERT does not Granger Cause RICE 71 0.55318 0.8673

RICE does not Granger Cause FERT 0.47456 0.9194

CLIMATE does not Granger Cause RICE 70 1.07805 0.4004

RICE does not Granger Cause CLIMATE 0.78615 0.6616

FERT does not Granger Cause FUEL 70 1.16100 0.3390

FUEL does not Granger Cause FERT 3.43666 0.0013

CLIMATE does not Granger Cause FUEL 70 0.55589 0.8650

FUEL does not Granger Cause CLIMATE 1.45194 0.1787

CLIMATE does not Granger Cause FERT 70 1.17605 0.3286

FERT does not Granger Cause CLIMATE 0.42866 0.9435