DF Regression Results Midquotes HOME ---------------------------------------------------- Coeff StdErr Tstat -0.0016292531 0.0021000878 -0.77580240 ---------------------------------------------------- DF Regression Results Midquotes NYSE ---------------------------------------------------- Coeff StdErr Tstat -0.0018563782 0.0021741791 -0.85382950 ---------------------------------------------------- Auxiliary Regression Homemidq on NYSEmidq ---------------------------------------------------- Coeff StdErr Tstat 0.99997851 6.7447623e-006 148260.01 ---------------------------------------------------- conintegrating vector 1.0000000 -0.99997851 DF Regression Results Residual Series ---------------------------------------------------- Coeff StdErr Tstat -0.86548454 0.026040067 -33.236648 ---------------------------------------------------- VECM Results rowswise:constant, adjustment coefficients, lag 1 (Home), lag 1 (NYSE) -2.0461187e-005 -5.6472717e-005 -0.28564003 0.52376019 -0.14139302 -0.10667866 0.061624528 0.037074943