|
Dependent variable |
Regressors |
||||||
|
sample: Jan 1995 - May 2001 |
|||||||
|
CRPOWS |
= |
WRPORP |
cointegration * |
|
|
|
|
| |
|
0.47 |
-0.41 |
|
|
|
|
| |
|
0.85 |
-3.56 |
|
|
|
|
|
sample: Jan 1995 - May 2001 |
|||||||
|
CRPMWS |
= |
WRPMRP |
cointegration * |
|
|
|
|
| |
|
0.16 |
-0.39 |
|
|
|
|
| |
|
3.05 |
-4.51 |
|
|
|
|
|
dCRPMWS |
= |
dCRPMWS1 |
dCRPMWS4 |
dWRPMRP3 |
dWRPMRP5 |
dWRPMRP9 |
ecm(-1) |
| |
|
0.91 |
0.50 |
-0.17 |
-0.21 |
-0.17 |
-0.81 |
| |
|
5.11 |
2.83 |
-2.05 |
-2.68 |
-2.59 |
-4.09 |
|
sample: Jan 1995 - May 2001 |
|||||||
|
CRPMRT |
= |
CRPMWS |
cointegration * |
|
|
|
|
| |
|
0.80 |
-0.91 |
|
|
|
|
| |
|
10.23 |
-4.82 |
|
|
|
|
|
dCRPMRT |
= |
dCRPMWS |
ecm(-1) |
|
|
|
|
| |
|
0.65 |
-0.81 |
|
|
|
|
| |
|
7.53 |
-8.73 |
|
|
|
|
see Table 1 for variables' names
d = differences; 1, 2, 3,... = differences lagged 1, 2, 3,...
* 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
source: own calculation on ESCB price data
