TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...

Annex C – Cointegration tests
Table C.1 – Cointegration tests, Johansen tests for swfr and hrw (1978:12-2003:12)
Annexes
H0(H1) 16 lags (nd)
trace λmax
16 lags (d)
trace λmax
16 lags (d6, d7, d8)
trace λmax
r = 0 (r = 2) 18.457(0.086) ♦ 14.939(0.069)* 17.694(0.109) 14.159(0.092) 17.245(0.125) 13.870(0.102)
r = 1 (r = 2) 3.518(0.500) 3.518(0.500) 3.535(0.497) 3.535(0.497) 3.376(0.524) 3.376(0.524)
nd = no monthly dummies considered; d = eleven monthly dummies were included; d6,d7,d8 = only dummies for June, July and
August were considered; trace = Johansen trace test; λmax = Johansen λmax test; p-values are reported in parenthesis
♦ In the hypothesis of a 1 cointegration rank, the corresponding VECM was estimated, but the value of the transmission elasticity
parameters were implausible. When 13 lags were used, in analogy with wref, the cointegration rank was always 0
Table C.2 – Cointegration tests, Johansen tests for swfr and hrw (1978:12-1993:06)
H0(H1) 13 lags (nd)
trace λmax
5 lags (d)
trace λmax
5 lags (d6, d7, d8)
trace λmax
r = 0 (r = 2) 29.112(0.002) 25.585(0.0007) 24.885(0.009) 19.065(0.013) 25.323(0.008) 18.459(0.017)
r = 1 (r = 2) 3.527(0.498) 3.527(0.498) 5.820(0.212) 5.820(0.212) 6.863(0.137) 6.863(0.137)
nd = no monthly dummies considered; d = eleven monthly dummies were included; d6,d7,d8 = only dummies for June, July and
August were considered; trace = Johansen trace test; λmax = Johansen λmax test; p-values are reported in parenthesis
Table C.3 – Cointegration tests, Johansen tests for swfr and hrw (1993:07-2003:12)
H0(H1) 2 lags (nd)
trace λmax
23 lags (d)
trace λmax
2 lags (d6, d7, d8)
trace λmax
r = 0 (r = 2) 18.853(0.0764) 12.100(0.186) 30.663(0.0009) 28.726(0.0002) 18.279(0.091) 11.352(0.235)
r = 1 (r = 2) 6.753(0.144) 6.753(0.144) 2.837(0.619) 2.8373(0.6176) 6.928(0.134) 6.928(0.134)
H0(H1) 13 lags (nd)
trace λmax
13 lags (d)
trace λmax
13 lags (d6, d7, d8)
trace λmax
r = 0 (r = 2) 17.232(0.125) 13.467(0.118) 18.707(0.080) 15.647(0.053) 17.781(0.106) 14.588(0.079)
r = 1 (r = 2) 3.765(0.460) 3.765(0.459) 3.060(0.579) 3.060(0.577) 3.193(0.555) 3.193(0.554)
nd = no monthly dummies considered; d = eleven monthly dummies were included; d6,d7,d8 = only dummies for June, July and
August were considered; trace = Johansen trace test; λmax = Johansen λmax test; p-values are reported in parenthesis
Table C.4 – Cointegration tests, Johansen tests for swfr and wref (1978:12-2003:12)
H0(H1)
13 lags (nd)
trace λmax
13 lags (d)
trace λmax
13 lags (d6, d7, d8)
trace λmax
r = 0 (r = 2) 32.852(0.0004) 29.137(0.0001) 28.183(0.003) 24.798(0.001) 27.621(0.003) 24.237(0.0013)
r = 1 (r = 2) 3.751(0.468) 3.751(0.468) 3.385(0.522) 3.385(0.522) 3.385(0.522) 3.385(0.522)
nd = no monthly dummies considered; d = eleven monthly dummies were included; d6,d7,d8 = only dummies for June, July and
August were considered; trace = Johansen trace test; λmax = Johansen λmax test; p-values are reported in parenthesis
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