Table 6: Emerging Market Countries’ Solvency Test
|
sit = αi + 0.018 bit | |
|
Factor |
Idiosyncratic |
|
-1.505 |
2.232* |
Notes: This table examines whether we have stationary residuals from the estimated
cointegrating vector (sit = αi + 0.018bit) obtained from Table 5 and the CupBC estimator.
We use a factor model to account for cross sectional correlation. We use an information
criterion to identify whether there is a factor or not. The maximum number of factors is one.
We use annual data 1991 to 2005 (N=27, T=15). Star and bold (*) indicates rejection of the
null of unit root at the 5% significance level.
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