Table 5: Emerging Market Countries Estimated Fiscal Response Function
|
Model with No Factor | |
|
Fixed Effects |
0.015* |
|
Model with Stationary Factor | |
|
Bai and Kao (2006) |
0.018* |
|
Model with Nonstationary Factor | |
|
Bai et al. (2007) |
0.018* _______________________(3.79)_______________________ |
|
Bai et al. (2007) |
0.017* |
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.
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