VEC Granger Causality/Block Exogeneity Wald Tests

Date: 06/25/15 Time: 22:56

Sample: 6/16/2004 6/19/2015

Included observations: 2770

Dependent variable: D(TY30, 2)

Excluded

Chi-sq

df

Prob.

D(JLL, 2)

54.58057

1

0.0000

D(COLLIERS, 2)

16.41853

1

0.0001

D(CBRE, 2)

0.361264

1

0.5478

All

75.18038

3

0.0000

Dependent variable: D(JLL, 2)

Excluded

Chi-sq

df

Prob.

D (TY30, 2)

223.7451

1

0.0000

D (COLLIERS ,2)

47.38254

1

0.0000

D (CBRE, 2)

2.852437

1

0.0912

All

267.4418

3

0.0000

Dependent variable: D(COLLIERS, 2)

Excluded

Chi-sq

df

Prob.

D(TY30, 2)

0.907468

1

0.3408

D(JLL, 2)

0.396789

1

0.5288

D(CBRE, 2)

2.771755

1

0.0959

All

4.274407

3

0.2333

Dependent variable: D(CBRE, 2)

Excluded

Chi-sq

df

Prob.

D(TY30, 2)

122.3983

1

0.0000

D(JLL, 2)

123.6427

1

0.0000

D(COLLIERS, 2)

37.50118

1

0.0000

All

211.8080

3

0.0000