VEC Granger Causality/Block Exogeneity Wald Tests | |||
Date: 12/21/14 Time: 16:26 |
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Sample: 2/23/2011 9/19/2014 |
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Included observations: 897 |
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Dependent variable: D(BRENT) |
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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) |
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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) |
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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) |
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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 |