Level

First Differences

Currency

Intercept

LAG

Intercept & Trend

LAG

Intercept

LAG

Intercept & Trend

LAG

EURO

−2.2584

8

−2.3435

9

−37.46186*

11

−37.50921*

11

GBP

−1.6873

6

−2.5881

8

−34.47336*

8

−34.56479*

10

USD

−0.8796

20

−1.7004

20

−28.77068*

17

−28.76248*

17

JPY

−0.4059

6

−1.0434

6

−34.54471*

5

−34.57147*

5

(Author’s Computation)