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Swiss Journal of Economics and Statistics

Table 1 Block exogeneity Wald tests of Granger causality, 1991/M1–2021/M12

From: A monthly leading indicator of Swiss GDP growth based on Okun’s law

Dependent variable

Excluded variable

P-value

UR

FLUR

1.00E−38

FLUR

UR

8.00E−04

  1. Results from a bivariate VAR model with the optimal lag length based on the Schwarz criterion
  2. The null hypothesis posits that the excluded variable does not Granger cause the dependent variable. Hence, the lower the P-value, the less likely that the null hypothesis holds
  3. UR, monthly seasonally adjusted observed unemployment rate; FLUR, monthly seasonally adjusted forward-looking unemployment rate
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