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. Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach
2. AN EMPIRICAL INVESTIGATION OF THE PRODUCTION EFFECTS OF ADOPTING GM SEED TECHNOLOGY: THE CASE OF FARMERS IN ARGENTINA
3. ADJUSTMENT TO GLOBALISATION: A STUDY OF THE FOOTWEAR INDUSTRY IN EUROPE
4. The name is absent
5. Gender stereotyping and wage discrimination among Italian graduates
6. A Computational Model of Children's Semantic Memory
7. The name is absent
8. DETERMINANTS OF FOOD AWAY FROM HOME AMONG AFRICAN-AMERICANS
9. The name is absent
10. The name is absent