Table 2: Nonstationary Panel Estimation with Factors
|
Model with No Factor_______________________________ | |
|
Fixed Effects |
0.054 |
|
Model with Stationary Factor_________________________ | |
|
Bai and Kao (2006) CupFM_________ |
0.059 |
|
Model with Nonstationary Factor______________________ | |
|
Bai et al. (2007) |
0.018 ______________(7.287)______________ |
|
Bai et al. (2007) CupFM_________ |
0.039 |
Notes: Panel data set is 1978 to 2005 (N=15, T=28). Estimation results
are based on equation (15) sit = αi + ρdit + λiFt, where a factor (Ft) is
included. t-statistics in parentheses and in bold with a star (*) if
significant at the 5% level. An information criterion from Bai and Ng
(2002) suggests a factor is appropriate. Bai and Kao (2006)
continuously updated fully modified (CupFM) estimator has a
stationary factor. Bai et al. (2007) continuously bias corrected CupBC
and CupFM has a nonstationary factor.
26