Variables | Level I(0) | First level I(1) | Decision | ||
---|---|---|---|---|---|

Z(rho) | Z(t) | Z(rho) | Z(t) | ||

In(M_{mar})_{t} (with constant term) | –15.685^{**} | –2.892^{**} | I(0) | ||

In(M_{rest})_{t} (with constant term) | –6.394 | –1.971 | –120.562^{***} | –13.780^{***} | I(1) |

In(X_{mar})_{t} (with constant term) | –22.924^{***} | –3.648^{***} | I(0) | ||

In(X_{rest})_{t} (with constant term) | –28.653^{***} | –4.324^{***} | I(0) | ||

In(Y_{UK})_{t} (with trend) | –3.493 | –1.555 | –100.556^{***} | –9.066^{***} | I(1) |

In(Y_{Norway})_{t} (with trend) | –7.471 | –3.357 | –131.873^{***} | –15.810^{***} | I(1) |

In(ER)_{t} (with constant term) | –8.458 | –2.073 | –86.257^{***} | –8.375^{***} | I(1) |

In(Vol)_{t} (constant suppressed) | –14.027^{***} | –2.733^{***} | I(0) |

Denotes rejection of the null hypothesis of a unit root at the 1 percent level of significance.