Table 3. Between-group correlations and retained factors
|
ADF |
ARDL | |||||||
|
Panel |
r |
γ |
λLR |
τ |
r |
γ |
λLR |
τ |
|
CPI-DM |
.265 |
8.641 |
1956 |
3 |
.274 |
8.288 |
2023 |
3 |
|
[.000] |
[.000] | |||||||
|
CPI-US$ |
.645 |
24.85 |
7274 |
1 |
.651 |
19.75 |
7059 |
1 |
|
[.000] |
[.000] | |||||||
|
WPI-DM |
.272 |
7.836 |
1550 |
2 |
.275 |
7.419 |
1544 |
2 |
|
[.000] |
[.000] | |||||||
|
WPI-US$ |
.619 |
19.60 |
4859 |
1 |
.613 |
17.70 |
4869 |
1 |
|
[.000] |
[.000] | |||||||
Note: r is the average cross-section correlation, γ = (λmax )1/2 is the condition
λmin
number, λLR is the p -value of Breusch-Pagan diagonality test on the residual
correlation matrix and τ is the number of factors retained by Kaiser criterion. All
of these are computed from the equation-by-equation OLS residuals.
25
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