|
Dependent variable |
Regressors |
Cointegration* |
Dependent variable |
Regressors |
Cointegration* |
||
|
GHMZIM |
= |
WRMZRP |
|
GHRIIM |
= |
WRRIRP |
|
| |
|
1.02 |
-1.27 |
|
|
0.94 |
-0.80 |
| |
|
2.78 |
-4.81 |
|
|
7.23 |
-3.68 |
| |
|
|
|
|
|
|
|
|
GHMZPF |
= |
WRMZRP |
|
GHRIPF |
= |
WRRIRP |
|
| |
|
5.17 |
-0.47 |
|
|
3.81 |
-0.39 |
| |
|
4.03 |
-2.68 |
|
|
6.62 |
-2.86 |
| |
|
|
|
|
|
|
|
|
GHMZWS |
= |
WRMZRP |
|
GHRI1WS |
= |
WRRIRP |
|
| |
|
4.04 |
-0.43 |
|
|
3.77 |
-0.29 |
| |
|
4.22 |
-3.09 |
|
|
4.83 |
-3.10 |
| |
|
|
|
|
|
|
|
|
GHSHPF |
= |
WRSHRP |
|
GHCSPF |
= |
WRCSRP |
|
| |
|
4.34 |
-0.42 |
|
|
4.57 |
-0.50 |
| |
|
4.26 |
-2.65 |
|
|
6.69 |
-2.78 |
| |
|
|
|
|
|
|
|
|
GHSHWS |
= |
WRSHRP |
|
GHCSWS |
= |
WRCSRP |
|
| |
|
3.95 |
-0.40 |
|
|
2.62 |
-0.32 |
| |
|
4.85 |
-3.33 |
|
|
2.96 |
-2.34 |
see Table 1 for variables' names
* figures reported are the ADF coefficients and t values for the level of the residual of the static regression between the two variables reported on the left. This corresponds to the Engle and Granger (1987) test for cointegration.
