The Global Dimension to Fiscal Sustainability



Table 5: Emerging Market Countries Estimated Fiscal Response Function

Model with No Factor

Fixed Effects

0.015*
_______________________(2.10)_______________________

Model with Stationary Factor

Bai and Kao (2006)
CupFM

0.018*
(3.70)

Model with Nonstationary Factor

Bai et al. (2007)
CupBC____________

0.018*

_______________________(3.79)_______________________

Bai et al. (2007)
CupFM___________

0.017*
_______________________(3.63)_______________________

Notes: This table contains factor model estimation results are based on equation (13) sit = αi +
ρdit + λiFt, where a factor (Ft) is included. Sample period is 1990 to 2005 (N=27, T=16). t-
statistics in parentheses, start (*) and bold if significant at the 5% level. Bai and Kao (2006)
continuously updated fully modified (CupFM) estimator has a stationary factor. Bai et al.
(2007) Continuously updated Bias Corrected (CupBC) and CupFM has a nonstationary factor.

29



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