202 - ERF W 4 P s - The Causality between Financial

The order of the components is determined by the amount of variation in the original variables explained by each component such that the first component explains the largest amount of variation. [...] The choice of the number of PCs to be retained depends on the explained percentage of total variation in the data and the eigenvalue. [...] The basic idea of the Toda and Yamamoto approach is to augment the correct VAR order (p) by the maximal order of integration of the variables (m), and then estimate the augmented VAR that guarantees the asymptotic distribution of the Wald statistic. [...] The results of the eigenvalues and factor loadings are presented in Table 4.7 According to the results, only the first two components show an eigenvalue larger than one, with the first principal component (PC1) accounting for 70 percent of the variance of the data, followed by 24 percent by the second principal component (PC2). [...] Female employment in the service sector (as a percentage of female employment), the ratio of female to male mean years of schooling, and the share of parliament seats held by women capture the largest weights in the equality dimension, where the factor loadings of the three indicators are 0.916, 0.903, and 0.892, respectively.