VEC Granger Causality/Block Exogeneity Wald Tests

Date: 11/09/14 Time: 12:52

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

Included observations: 897

Dependent variable: D(WTI,2)

Excluded

Chi-sq

df

Prob.

D(USD_CHF,2)

19.74048

1

0.0000

D(USD_JPY,2)

3.075048

1

0.0795

D(USD_RUB,2)

3.104736

1

0.0781

D(USD_SAR)

4.398922

1

0.0360

D(USD_ZAR)

12.38486

1

0.0004

D(EUR_USD,2)

24.16334

1

0.0000

All

71.72270

6

0.0000

Dependent variable: D(USD_CHF,2)

Excluded

Chi-sq

df

Prob.

D(WTI,2)

5.771782

1

0.0163

D(USD_JPY,2)

0.497868

1

0.4804

D(USD_RUB,2)

0.221740

1

0.6377

D(USD_SAR)

1.117926

1

0.2904

D(USD_ZAR)

20.47231

1

0.0000

D(EUR_USD,2)

1.616726

1

0.2035

All

28.45028

6

0.0001

Dependent variable: D(USD_JPY,2)

Excluded

Chi-sq

df

Prob.

D(WTI,2)

2.444954

1

0.1179

D(USD_CHF,2)

0.001850

1

0.9657

D(USD_RUB,2)

0.052450

1

0.8189

D(USD_SAR)

0.002058

1

0.9638

D(USD_ZAR)

4.501409

1

0.0339

D(EUR_USD,2)

0.603312

1

0.4373

All

9.509538

6

0.1469

Dependent variable: D(USD_RUB,2)

Excluded

Chi-sq

df

Prob.

D(WTI,2)

37.31471

1

0.0000

D(USD_CHF,2)

56.01701

1

0.0000

D(USD_JPY,2)

7.237291

1

0.0071