Table 6. Estimation Result of Common Stochastic Trend Model

lnyi,t=γi×xt+ei,t,  ei,t∼i.i.d.N(0,σi2)xt=xt−1+vt,  vt∼i.i.d.N(0,σv2)
-	Estimate	Standard error
γc	0.659***	0.015
γp	0.645***	0.015
σc2	0.000	-
σp2	0.203	-

Note: indicate significance at 1% level.