Step 3: cointegrating regression
Cointegrating regression -
OLS estimates using the 412 observations 1971:01-2005:04
Dependent variable: l_exjpus
VARIABLE COEFFICIENT STDERROR T STAT P-VALUE
const 5,60902 0,0176436 317,906 <0,00001 ***
cpi_diff 1,64565 0,0493659 33,336 <0,00001 ***
Unadjusted R-squared = 0,730488
Adjusted R-squared = 0,729831
Durbin-Watson statistic = 0,020749
First-order autocorrelation coeff. = 0,981198
Step 4: Dickey-Fuller test on residuals
Augmented Dickey-Fuller tests, order 12, for uhat
sample size 399
unit-root null hypothesis: a = 1
test without constant
estimated value of (a - 1): -0,022759
test statistic: t = -3,00329
asymptotic p-value 0,02689
P-values based on MacKinnon (JAE, 1996)
There is evidence for a cointegrating relationship if:
(a) The unit-root hypothesis is not rejected for the individual variables.
(b) The unit-root hypothesis is rejected for the residuals (uhat) from the
cointegrating regression.