A Principal Components Approach to Cross-Section Dependence in Panels



Table 4. Estimated coefficients and t-ratios on included factors

ADF model

CPI-DM

CPI-US$

WPI-DM

WPI-US$

MG

.0927

.0129

-.0174

.1375

.1131

.0124

.1570

[6.79]

[.68]

[-.75]

[15.31]

[5.59]

[.42]

[12.02]

FE

.0924

.0126

-.0166

.1372

.1127

.0119

.1568

[47.56]

[3.57]

[-3.83]

[107.69]

[45.67]

[2.39]

[91.38]

POLS

.0924

.0122

-.0156

.1370

.1125

.0116

.1567

[47.44]

[3.46]

[-3.58]

[105.21]

[45.43]

[2.32]

[90.95]

ARDL model

CPI-DM

CPI-US$

WPI-DM

WPI-US$

MG

.0881

.0109

.0227

.1360

.1087

.0029

.1530

[6.36]

[.63]

[1.15]

[15.32]

[5.36]

[.10]

[11.71]

FE

.0882

.0091

.0223

.1356

.1092

.0024

.1533

[48.39]

[2.64

[5.52]

[112.45]

[45.91]

[.52]

[92.29]

POLS

.0883

.0088

.0218

.1356

.1092

.0026

.1533

[48.46]

[2.55]

[5.39]

[110.72]

[45.85]

[.56]

[92.29]

26



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