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График коинтеграции USDJPY

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.