Page 239 - Contributed Paper Session (CPS) - Volume 8

CPS2265 Siti Salwani Ismail et al.
Watson test shows that there are positive autocorrelation between gross
output value and its independent variables.
In the final part of the analysis, the function was developed as follows:

Gross output value of real estate subsector = -0. 1137 Loan approved- 0.0557
Base lending rate +0.9324 Average price house + ei

As these result showed, the coefficient for all independent variables was
significant at 10 per cent level with the expected sign. When loan approved
and based lending rate increased by one per cent, gross output will decrease
by 0.11 per cent and 0.06 per cent respectively. While average price house
increase by one per cent, gross output for real estate industry will increase
0.93 per cent.

7.5 Granger Causality Test
The granger causality test reject the null hypothesis if the p-value is more
than 5 and 10 per cent otherwise fail to reject the null hypothesis if the p-value
is greater than that per cent. The result in Table 5 indicates that base lending
rate granger cause to average house price. Meanwhile output of real estate
subsector was granger cause to base lending rate.
Table 5: Granger Causality Test Result
F- p-
Null Hypothesis: Obs Statistic value
Base lending rate does not Granger Cause Average house price 5 14.548 **0.062
Average house price does not Granger Cause Base lending rate 5.308 0.148
Loan approved does not Granger Cause Average house price 5 0.019 0.904
Average house price does not Granger Cause Loan approved 0.847 0.455
Output of real estate does not Granger Cause Average house
price 5 1.308 0.371
Average house price does not Granger Cause Output of real
estate 7.525 0.111
Loan approved does not Granger Cause Base lending rate 5 6.530 0.125
Base lending rate does not Granger Cause Loan approved 0.182 0.712
Output of real estate does not Granger Cause Base lending rate 5 19.581 *0.048
Base lending rate does not Granger Cause Output of real estate 0.154 0.733
Output of real estate does not Granger Cause Loan approved 5 0.107 0.774
Loan approved does not Granger Cause Output of real estate 0.411 0.587
*Represent 5% significance
**Represent 10% significance

7.6 Diagnostic Checking
To make sure that the stated result is free from spurious inference, the
competency of the model specified is further verified through diagnostic tests.
The result in Table 5 pointed out that the null hypothesis of no serial

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