Price relations between international rice markets

Agricultural and Food Economics

Table 2 Granger causality tests ^b

Export prices	→ Thailand	→ Vietnam	→ Pakistan	→ U.S.	→ Argentina
Thailand →	x	20.494***	4.265	3.086	1.776
Thailand →	x	(0.001)	(0.385)	(0.687)	(0.879)
Vietnam →	17.269***	x	19.656***	8.238	14.770**
Vietnam →	(0.004)	x	(0.001)	(0.144)	(0.012)
Pakistan →	12.952**	10.057*	x	7.189	11.127**
Pakistan →	(0.024)	(0.074)	x	(0.207)	(0.049)
U.S. →	1.248	1.483	2.108	x	4.382
U.S. →	(0.940)	(0.915)	(0.834)	x	(0.496)
Argentina →	4.013	3.118	5.809	14.838**	x
	(0.548)	(0.682)	(0.325)	(0.011)

^b The figures in the boxes are the Wald test statistics and the p-values are in brackets. *, **, ***, signify a ten, five, and one percent level of significance of the Granger causality tests. The arrows indicate the direction of price transmission. According to the Schwarz Information Criterion, the optimal number of lags is one, however five lags are required in order to ensure the error terms are not serially correlated therefore a VAR(5) model is specified. There are 156 observations.