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Swiss Journal of Economics and Statistics

Table 8 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 variables

P-value

gGDP

FLUR-Okun

0.0000

 

SNB-BCI

0.0000

 

KOF Bar

0.0000

 

all 3

0.0000

FLUR-Okun

gGDP

0.0268

 

SNB-BCI

0.0062

 

KOF Bar

0.0059

 

all 3

0.0000

SNB-BCI

FLUR-Okun

0.0049

 

gGDP

0.0062

 

KOF Bar

0.0000

 

all 3

0.0000

KOF Bar

FLUR-Okun

0.0000

 

SNB-BCI

0.0000

 

gGDP

0.0004

 

all 3

0.0000

  1. Results from multivariate 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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