|
Dependent variable |
Regressors |
|||||||
|
sample: Jan 1965 - May 2001 |
||||||||
|
dGHGRWS |
= |
dGHGRWS5 |
dGHGRWS9 |
dGHGRWS11 |
dWRGRRP |
dWRGRRP1 |
dDGRWS |
ecm(-1) |
| |
|
-0.28 |
-0.13 |
0.14 |
0.26 |
-0.26 |
0.32 |
-0.07 |
| |
|
-5.64 |
-2.54 |
2.46 |
2.20 |
-2.30 |
8.26 |
-3.58 |
|
sample: Jan 1990 - May 2001 |
||||||||
|
dGHMZWS |
|
dGHMZWS4 |
dGHMZWS5 |
dGHMZRT |
dGHMZRT4 |
dGHMZRT5 |
dD1MZWS |
ecm(-1) |
| |
|
0.24 |
0.18 |
0.93 |
-0.28 |
-0.23 |
0.07 |
-0.33 |
| |
|
2.96 |
2.15 |
16.17 |
-2.89 |
-2.37 |
4.41 |
-4.69 |
|
sample: Jan 1990 - May 2001 |
||||||||
|
dGHRI1WS |
= |
dGHRI1RT |
dD1RI1WS |
ecm(-1) |
|
|
|
|
| |
|
0.30 |
0.09 |
-0.36 |
|
|
|
|
| |
|
6.51 |
8.46 |
-6.49 |
|
|
|
|
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
d = differences; 1, 2, 3,... = differences lagged 1, 2, 3,...
source: own calculation on ESCB price data
