-Toda-Yamamoto test
Finally, we conducted the T-Y Granger causality test using a modified Wald (MWald)
test to verify if the coefficients λ1 and λ2 of the lagged variables are significantly
different from zero in the respective equations 3 and 4. After determining that the most
appropriate lag length as k=2 and dmax=1 The results of the T-Y causality test are
reported in Table 3 for all the estimated period.