|
Dependent variable |
Regressors |
|||||
|
sample: Sept 1993 - May 2001 |
||||||
|
4 |
= |
WRWHRP |
cointegration * |
|
|
|
| |
|
-0.43 |
-0.31 |
|
|
|
| |
|
-4.25 |
-3.53 |
|
|
|
|
dETWHRT |
= |
dETWHRT1 |
dETWHRT3 |
dWRWHRP |
ecm(-1) |
|
| |
|
0.32 |
0.26 |
-0.14 |
-0.33 |
|
| |
|
2.84 |
2.29 |
-3.41 |
-4.06 |
|
|
sample: Sept 1993 - May 2001 |
||||||
|
ETMZRT |
= |
WRMZRP |
cointegration * |
|
|
|
| |
|
-0.86 |
-0.43 |
|
|
|
| |
|
-3.35 |
-3.83 |
|
|
|
|
dETMZRT |
= |
dWRMZRP |
dWRMZRP2 |
dWRMZRP3 |
ecm(-1) |
|
| |
|
-0.53 |
-0.50 |
0.60 |
-0.32 |
|
| |
|
-2.03 |
-1.90 |
2.46 |
-3.71 |
|
|
sample: Sept 1993 - May 2001 |
||||||
|
ETMZPR |
= |
WRMZRP |
cointegration * |
|
|
|
| |
|
-1.48 |
-0.26 |
|
|
|
| |
|
-2.14 |
-3.70 |
|
|
|
|
dETMZPR |
= |
dETMZPR1 |
dWRMZRP3 |
ecm(-1) |
|
|
| |
|
0.37 |
0.55 |
-0.25 |
|
|
| |
|
2.74 |
2.54 |
-3.02 |
|
|
|
sample: Sept 1993 - May 2001 |
||||||
|
ETSHRT |
= |
WRSHRP |
cointegration * |
|
|
|
| |
|
-0.83 |
-0.56 |
|
|
|
| |
|
-2.28 |
-3.50 |
|
|
|
|
dETSHRT |
= |
ecm(-1) |
|
|
|
|
| |
|
-0.20 |
|
|
|
|
| |
|
-2.54 |
|
|
|
|
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
