Table 3: Industrial Countries’ Solvency Test
|
sit = αi + 0.018 dit | ||
|
Factor |
Idiosyncratic | |
|
1979-2005 |
-2.629 |
2.328* |
|
1991-2005 |
-3.536* |
4.570* |
Notes: Panel data set is for fifteen countries and 1979 to 2005 (N=15, T=27). An information criterion
from Bai and Ng (2002) suggests a factor is appropriate. Star (*) and bold indicates rejection of the null
of unit root at the 5% significance level. Large negative tests statistics reject the null hypothesis of unit
root for the factor (less than -2.89). Large positive test statistics reject the null of unit root for the
idiosyncratic component (greater than 1.64). The data is standardized. Our long run relationship is
based on CupBC estimates from Table 2.
27
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