VAR Granger causality/block exogeneity wald tests

Sample: 1/04/2010 6/30/2015

Included observations: 1229

Dependent variable: DUS

Excluded

Chi-sq

df

Prob.

DUK

4.936070

3

0.1765

DHK

2.095762

3

0.5528

DJAPAN

4.151102

3

0.2456

All

11.72614

9

0.2292

Dependent variable: DUK

Excluded

Chi-sq

df

Prob.

DUS

84.60419

3

0.0000

DHK

1.016763

3

0.7972

DJAPAN

0.864174

3

0.8341

All

88.28683

9

0.0000

Dependent variable: DHK

Excluded

Chi-sq

df

Prob.

DUS

154.5575

3

0.0000

DUK

4.140122

3

0.2467

DJAPAN

17.22457

3

0.0006

All

365.0299

9

0.0000

Dependent variable: DJAPAN

Excluded

Chi-sq

df

Prob.

DUS

88.24964

3

0.0000

DUK

19.89895

3

0.0002

DHK

14.87379

3

0.0019

All

320.6132

9

0.0000