Table 1: |
GMM Estimates for the G-7 (Mark-up= |
:10%) | ||||
β |
α |
ω |
P |
J-test | ||
M1 |
0.90* |
0.54* |
0.30* |
n/a |
9.59 | |
USA |
M2 |
0.87* |
0.54* |
0.27* |
1.38** |
9.26 |
M3 |
0.90* |
0.55* |
0.30* |
1.00 |
9.42 | |
M4 |
0.95* |
0.63* |
0.36* |
0.33 |
9.36 | |
M1 |
0.94* |
0.66* |
0.28* |
n/a |
7.94 | |
CAN |
M2 |
0.94* |
0.73* |
0.29* |
1.23 |
7.90 |
M3 |
0.95* |
0.74* |
0.30* |
1.00 |
7.99 | |
M4 |
0.96* |
0.77* |
0.32* |
0.33 |
8.05 | |
M1 |
0.81* |
0.56* |
0.06** |
n/a |
9.23 | |
GBR |
M2 |
0.86* |
0.60* |
0.07** |
0.06 |
9.27 |
M3 |
0.83* |
0.59* |
0.07** |
1.00 |
9.43 | |
M4 |
0.85* |
0.59* |
0.07** |
0.33 |
9.36 | |
M1 |
0.94* |
0.69* |
0.08* |
n/a |
7.90 | |
FRA |
M2 |
0.94* |
0.75* |
0.09* |
2.57 |
7.51 |
M3 |
0.94* |
0.72* |
0.08* |
1.00 |
7.76 | |
M4 |
0.94* |
0.71* |
0.08* |
0.33 |
7.68 | |
M1 |
0.80* |
0.87* |
0.22* |
n/a |
8.41 | |
DEU |
M2 |
0.66* |
0.87* |
0.20* |
-6.83 |
8.64 |
M3 |
0.77* |
0.83* |
0.21* |
1.00 |
8.97 | |
M4 |
0.76* |
0.78* |
0.18* |
0.33 |
8.85 | |
M1 |
0.80* |
0.51* |
0.39* |
n/a |
9.95 | |
ITA |
M2 |
0.81* |
0.56* |
0.42* |
1.26 |
9.99 |
M3 |
0.81* |
0.55* |
0.43* |
1.00 |
10.0 | |
M4 |
0.89* |
0.61* |
0.50* |
0.33 |
9.93 | |
M1 |
0.80* |
0.67* |
0.29* |
n/a |
10.2 | |
JPN |
M2 |
0.65* |
0.63* |
0.30* |
-0.83 |
9.48 |
M3 |
0.81* |
0.70* |
0.30* |
1.00 |
10.1 | |
M4 |
0.76* |
0.60* |
0.27* |
0.33 |
10.2 |
Notes: (i) USA, CAN, GBR, FRA, DEU, ITA and JPN are abbreviations for
the US, Canada, UK, France, Germany, Italy and Japan respectively; (ii) * and **
indicates a significant t-test at the 1 and 5% levels respectively; (iii) the t-tests are
calculated using heteroscedastic consistent standard errors; (iv) all t-tests are based
on the null hypothesis of the estimated parameter being equal to zero (except for ρ
which tests away from a null of unity); (v) in M3 and M4 the parameter ρ is restricted
to unity and one-third respectively.
15
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