VEC Granger Causality/Block Exogeneity Wald Tests

Date: 12/21/14 Time: 16:26

Sample: 2/23/2011 9/19/2014

Included observations: 897

Dependent variable: D(BRENT)

Excluded

Chi-sq

df

Prob.

D(USD_ZAR)

0.674986

1

0.4113

D(USD_SAR)

0.682669

1

0.4087

D(USD_RUB,2)

3.365229

1

0.0666

D(USD_JPY,2)

0.954807

1

0.3285

D(USD_CHF,2)

0.115260

1

0.7342

D(EUR_USD,2)

0.932746

1

0.3342

All

5.601936

6

0.4692

Dependent variable: D(USD_ZAR)

Excluded

Chi-sq

df

Prob.

D(BRENT)

42.76761

1

0.0000

D(USD_SAR)

0.023423

1

0.8784

D(USD_RUB,2)

0.006077

1

0.9379

D(USD_JPY,2)

2.780567

1

0.0954

D(USD_CHF,2)

1.843748

1

0.1745

D(EUR_USD,2)

0.416966

1

0.5185

All

47.78798

6

0.0000

Dependent variable: D(USD_SAR)

Excluded

Chi-sq

df

Prob.

D(BRENT)

2.006908

1

0.1566

D(USD_ZAR)

1.510581

1

0.2191

D(USD_RUB,2)

0.059348

1

0.8075

D(USD_JPY,2)

0.378800

1

0.5382

D(USD_CHF,2)

5.452915

1

0.0195

D(EUR_USD,2)

4.504856

1

0.0338

All

10.31451

6

0.1120

Dependent variable: D(USD_RUB,2)

Excluded

Chi-sq

df

Prob.

D(BRENT)

34.88765

1

0.0000

D(USD_ZAR)

34.04939

1

0.0000

D(USD_SAR)

0.997805

1

0.3178