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This paper aimed to establish a relationship between the selective meteorological variables such as temperature, humidity, wind speed, and rainfall in which contribute to the climate change in Peninsular Malaysia. Regression analysis, instantaneous causality, and impulse response function analysis were applied to the variables. The results revealed that humidity is positively related to rainfall and there is a strong relation between them. The instantaneous causality between wind speed and other variables concluded that the capability to predict the series of temperature, humidity, and rainfall based on the histories of all observable variables is unaffected by the omission of wind speed's history. [ABSTRACT FROM AUTHOR]