Table 12 VEC Granger causality/block... | Emerald Publishing

Table 12

VEC Granger causality/block exogeneity Wald test – butter prices

Dependent variable: ΔEU_BUTTER			Dependent variable: ΔOCEANIA_BUTTER
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔGDT_BUTTER_CP2	1.052	0.305	ΔGDT_BUTTER_CP2	2.595	0.107
ΔOCEANIA_BUTTER	5.559	0.018**	ΔEU_BUTTER	3.212	0.073*
ΔUS_BUTTER	4.803	0.028**	ΔUS_BUTTER	0.57	0.450
All	9.934	0.019**	All	6.242	0.100

Dependent variable: ΔEU_BUTTER			Dependent variable: ΔOCEANIA_BUTTER
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔGDT_BUTTER_CP2	1.052	0.305	ΔGDT_BUTTER_CP2	2.595	0.107
ΔOCEANIA_BUTTER	5.559	0.018**	ΔEU_BUTTER	3.212	0.073*
ΔUS_BUTTER	4.803	0.028**	ΔUS_BUTTER	0.57	0.450
All	9.934	0.019**	All	6.242	0.100

Dependent variable: ΔUS_BUTTER			Dependent variable: ΔGDT_BUTTER_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔGDT_BUTTER_CP2	2.723	0.099*	ΔEU_BUTTER	3.715	0.054*
ΔEU_BUTTER	0.032	0.859	ΔOCEANLA_BUTTER	0.7	0.403
ΔOCEANIA_BUTTER	0.463	0.496	ΔUS_BUTTER	0.815	0.367
All	2.889	0.409	All	6.631	0.085*

Dependent variable: ΔUS_BUTTER			Dependent variable: ΔGDT_BUTTER_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔGDT_BUTTER_CP2	2.723	0.099*	ΔEU_BUTTER	3.715	0.054*
ΔEU_BUTTER	0.032	0.859	ΔOCEANLA_BUTTER	0.7	0.403
ΔOCEANIA_BUTTER	0.463	0.496	ΔUS_BUTTER	0.815	0.367
All	2.889	0.409	All	6.631	0.085*

Note(s): ***, ** and * denote significance level of 1%, 5% and 10%, respectively

Source(s): Own calculations