Table 7 Factor Identification
|
Rank Test |
Null Hypothesis |
Cointegration of Factor and US interest rates | |
|
p-r |
r |
Emerging |
Industrial |
|
2 |
r=0 |
19.316* |
23.696* [P = 0.014] |
|
1 |
r=l |
2.945 [P = 0.422] |
7.752 [P = 0.052] |
Notes: Johansen (1988) Trace Test examines whether there is cointegration between a common factor
from Bai and Ng (2004) PANIC and US interest rates (T-Bill rate). The null of cointegrating vectors is
given by r and the number of stochastic trends by p-r. Model selected on the basis of a model reduction
procedure and residuals are reasonably well specified. P-values are in square brackets based on simulated
critical values and a Bartlett correction from Johansen (2002). Star (*) and bold indicates significant at
the 5% level.
31
More intriguing information
1. Education and Development: The Issues and the Evidence2. THE AUTONOMOUS SYSTEMS LABORATORY
3. Tourism in Rural Areas and Regional Development Planning
4. Campanile Orchestra
5. Structural Conservation Practices in U.S. Corn Production: Evidence on Environmental Stewardship by Program Participants and Non-Participants
6. THE ANDEAN PRICE BAND SYSTEM: EFFECTS ON PRICES, PROTECTION AND PRODUCER WELFARE
7. Types of Tax Concessions for Promoting Investment in Free Economic and Trade Areas
8. An Incentive System for Salmonella Control in the Pork Supply Chain
9. MICROWORLDS BASED ON LINEAR EQUATION SYSTEMS: A NEW APPROACH TO COMPLEX PROBLEM SOLVING AND EXPERIMENTAL RESULTS
10. Education Research Gender, Education and Development - A Partially Annotated and Selective Bibliography