|
Dependent variable |
Regressors |
Cointegration* |
Dependent variable |
Regressors |
Cointegration* |
||
|
THWHIM |
= |
WRWHRP |
|
THRIPF |
= |
WRRIRP |
|
| |
|
0.83 |
-1.04 |
|
|
0.75 |
-1.16 |
| |
|
13.27 |
-3.70 |
|
|
8.38 |
-5.02 |
| |
|
|
|
|
|
|
|
|
THMZIM |
= |
WRWHRP |
|
THRIWS |
= |
WRRIRP |
|
| |
|
2.32 |
-0.43 |
|
|
1.19 |
-0.49 |
| |
|
2.94 |
-2.29 |
|
|
5.81 |
-2.99 |
| |
|
|
|
|
|
|
|
|
THMZEX |
= |
WRWHRP |
|
THRIRT |
= |
WRRIRP |
|
| |
|
0.64 |
-1.04 |
|
|
0.66 |
-0.52 |
| |
|
5.14 |
-3.75 |
|
|
5.64 |
-3.48 |
| |
|
|
|
|
|
|
|
|
THMZPR |
= |
WRWHRP |
|
THCSPR |
= |
WRCSRP |
|
| |
|
0.69 |
-1.18 |
|
|
0.72 |
-0.95 |
| |
|
8.58 |
-4.67 |
|
|
5.17 |
-4.72 |
| |
|
|
|
|
|
|
|
|
THMZPF |
= |
WRWHRP |
|
THCSPF |
= |
WRCSRP |
|
| |
|
0.70 |
-1.27 |
|
|
0.43 |
-0.97 |
| |
|
8.29 |
-4.94 |
|
|
1.47 |
-3.69 |
| |
|
|
|
|
|
|
|
|
THMZWS |
= |
WRWHRP |
|
THBMPF |
= |
WRBMRP |
|
| |
|
0.74 |
-1.10 |
|
|
1.72 |
-0.56 |
| |
|
11.88 |
-3.86 |
|
|
3.98 |
-3.29 |
| |
|
|
|
|
|
|
|
|
THSHPR |
= |
WRSHRP |
|
THPLPR |
= |
WRPLRP |
|
| |
|
0.99 |
-0.60 |
|
|
1.10 |
-0.49 |
| |
|
7.12 |
-2.89 |
|
|
4.99 |
-3.15 |
| |
|
|
|
|
|
|
|
|
THSHWS |
= |
WRSHRP |
|
THPLWS |
= |
WRPLRP |
|
| |
|
1.01 |
-0.66 |
|
|
0.90 |
-0.57 |
| |
|
11.75 |
-2.84 |
|
|
5.43 |
-3.24 |
| |
|
|
|
|
|
|
|
|
THRIEX |
= |
WRRIRP |
|
THPLRT |
= |
WRPLRP |
|
| |
|
1.03 |
-1.02 |
|
|
0.62 |
-0.59 |
| |
|
24.50 |
-4.44 |
|
|
3.09 |
-3.40 |
| |
|
|
|
|
|
|
|
|
THRIPR |
= |
WRRIRP |
|
THPMPF |
= |
WRPMRP |
|
| |
|
1.15 |
-0.39 |
|
|
0.88 |
-0.85 |
| |
|
5.23 |
-2.15 |
|
|
4.25 |
-3.80 |
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
