Table 4: Nonlinear Granger causality tests.

Embedding dimension : does not cause : does not cause
DP statistic ( value) DP statistic ( value)

1 −1.2210 (0.8889) −1.5430 (0.9386)
2 −0.9050 (0.8172) −0.9670 (0.8332)
3 −1.0380 (0.8503) −0.0640 (0.5254)
4 −1.2460 (0.8936) −0.3470 (0.6357)
5 0.0450 (0.4820) −0.3320 (0.6300)
6 −0.3640 (0.6422) −0.2410 (0.5952)
7 −0.5360 (0.7041) 0.3320 (0.3700)
8 −0.0580 (0.5271) 1.0420 (0.1486)

Notes: the DP statistic is generated based on Diks and Panchenko (2006) methodology.