35000

30000

25000

20000

15000 HIS
SMI
10000

5000

0
7 4 0 7 3 06 3 9 7 2 05 3 8 71 04 37 70 03 36 69 02 35 68 01 34 67 00 33 66 99
1 2 4 5 6 8 9 10 1 2 13 1 4 1 6 17 1 8 20 2 1 2 2 24 2 5 26 28 2 9 30 3 1

Unit root

Null Hypothesis: D(HIS) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=28)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -58.56394  0.0000

Test critical values: 1% level -3.960830
5% level -3.411172
10% level -3.127415

Null Hypothesis: D(SMI) has a unit root

Exogenous: None
Lag Length: 4 (Automatic - based on SIC, maxlag=28)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -27.58005  0.0000

Test critical values: 1% level -2.565666
5% level -1.940920
10% level -1.616635

*MacKinnon (1996) one-sided p-values.

Date: 08/27/13 Time: 12:58
Sample (adjusted): 3 3292
Included observations: 3290 after adjustments
Trend assumption: No deterministic trend
Series: HIS SMI 
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None  0.002027  6.677587  12.32090  0.3584

At most 1  3.61E-07  0.001187  4.129906  0.9790

 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