VEC Granger Causality/Block Exogeneity Wald Tests | |||
Date: 11/09/14 Time: 12:52 |
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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(WTI,2) |
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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) |
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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) |
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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) |
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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 |