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Swiss Journal of Economics and Statistics

Table 7 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

gGDP

FLUR-Okun

0.0000

FLUR-Okun

gGDP

0.0001

gGDP

SNB-BIC

0.1272

SNB-BIC

gGDP

0.0958

gGDP

KOF Bar

0.0765

KOF Bar

gGDP

0.0020

  1. Results from bivariate VAR models with 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
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