A Principal Components Approach to Cross-Section Dependence in Panels



Table 5(B). Long run PPP coefficient estimates (WPI)

MG_______FE_______POLS

i) DM

ADF

P [SE1]

-.0524[.0050] -.0317[.0041]   -.0178[.0029]

ADF(Wτ )

P [SE1]

-.0559[.0053] -.0346[.0033]   -.0192[.0023]

ARDL

Y [SE1]

-.0069[.0047] -.0025[.0011]   -.0033[.00092]

ARDL(Wτ )

Y [SE1]

-.0053[.0054] -.0023[.00089] -.0028[.00075]

ii) US$

ADF

P [SE1]

-0.0311[.0019] -0.0279[.0038]   -0.0209[.0032]

ADF(Wτ )

P [SE1]

-0.0346[.0018] -0.0314[.0022]   -0.0234[.0019]

ARDL

Y [SE1]

-0.0099[.0034] -0.0037[.0017]   -0.0022[.0013]

ARDL(Wτ )

Y [SE1]

-0.0030[.0024] -0.0021[.00097] -0.0020[.00072]

28



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