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, ? Diff_LRES: the differential between the log-transformed Japanese and US reserves, Diff_LST: the differential between the log-transformed Nikkei 225 and S&P 500 prices, LJPY/USD: log-transformed JPY/USD exchange rate

, The number of lags for the Augmented Dickey-Fuller test (1979) is chosen by SC

. Mackinnon, , pp.p-values, 1996.

, Vogelsang (1993) asymptotic one-sided p-values

, Intercept and trend included