A Principal Components Approach to Cross-Section Dependence in Panels



Table 5(A). Long run PPP coefficient estimates (CPI)

MG_______FE

POLS

i)DM____________________________________________

ADF

P [SE1]

-.0377[.0037]   -.0237[.0029]

-.0127[.0018]

ADF(Wτ )

P [SE1]

-.0398[.0036]   -.0247[.0024]

-.0131[.0015]

ARDL

Y [SE1]

-.01967[.0069] -.0044[.00079]

-.0045[.00071]

ARDL(Wτ )

Y [SE1]

-.01989[.0087] -.0041[.00066]

-.0041[.00059]

ii) US$__________________________________________________________

ADF

P [SE1]

-.0256[.0017] -.0225[.0028]

-5.96e-5[.00021]

ADF(Wτ )

P [SE1]

-.0274[.0019] -.0245[.0016]

-4.86e-5[.00012]

ARDL

Y [SE1]

-.0064[.0056] -.0025[.0014]

-.0034[.0012]

ARDL(Wτ )

Y [SE1]

-.0024[.0030] -.0024[.00077]

-.0040[.00067]

Note: Tables 5A-5B report the estimation results for two dynamic PPP equa-
tions, ADF and ARDL. The number of augmentation lags is conservatively set at
k=6 in all equations to eliminate serial correlation. ADF(
Wτ) and ARDL(Wτ)
denote the models with
τ factors as additional regressors. The conventional s.e.
for the MG, POLS and FE estimators are in brackets. These are likely to be biased
downwards in all regressions.

27



More intriguing information

1. THE ECONOMICS OF COMPETITION IN HEALTH INSURANCE- THE IRISH CASE STUDY.
2. Sex-gender-sexuality: how sex, gender, and sexuality constellations are constituted in secondary schools
3. Modelling the health related benefits of environmental policies - a CGE analysis for the eu countries with gem-e3
4. Examining Variations of Prominent Features in Genre Classification
5. The Global Dimension to Fiscal Sustainability
6. Strategic Investment and Market Integration
7. Income Mobility of Owners of Small Businesses when Boundaries between Occupations are Vague
8. Implementation of a 3GPP LTE Turbo Decoder Accelerator on GPU
9. The name is absent
10. Skill and work experience in the European knowledge economy