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Swiss Journal of Economics and Statistics

Table 2 Block exogeneity Wald tests of Granger causality, 1991/Q1–2021/Q4

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

Dependent variable

Excluded variable

P-value

D

DSS

6.00E−26

DSS

D

9.89E−02

  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 the null hypothesis holds
  3. D, observed average length of unemployment spells ending in a given month; DSS, expected duration of unemployment spells beginning in a given month
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