Date: 08/14/13   Time:  16:02

Sample (adjusted): 1/08/1997 7/30/2013

Included observations: 4320 after adjustments

Trend assumption: No deterministic trend (restricted constant)

Series: LNNZDS(1) LNNZDF

Lags interval (in first differences): 1 to 4

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None

0.003654

17.10097

20.26184

0.1288

At most 1

0.000298

1.286564

9.164546

0.9098

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis  (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None

0.003654

15.81441

15.89210

0.0514

At most 1

0.000298

1.286564

9.164546

0.9098

Max-eigenvalue test indicates no cointegration at the 0.05  level

* denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis  (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by  b'*S11*b=I):

LNNZDS(1)

LNNZDF

C

768.4460

-770.4751

2.661557

30.73446

-26.08140

-1.947799

Unrestricted Adjustment Coefficients (alpha):

D(LNNZDS(1))

0.000105

-0.000144

D(LNNZDF)

2.16E-05

1.27E-06

1 Cointegrating Equation(s):

Log likelihood

42534.94

Normalized cointegrating coefficients (standard error in  parentheses)

LNNZDS(1)

LNNZDF

C

1.000000

-1.002640

0.003464

(0.00158)

(0.00082)

Adjustment coefficients (standard error in parentheses)

D(LNNZDS(1))

0.080619

(0.09974)

D(LNNZDF)

0.016583

(0.00426)