Dynamic common correlated effects (DCCE) test results
| DCCE (1) (r_Itri,t) | DCCE (2) (r_exci,t) | |
|---|---|---|
| Variable | Coefficient | Coefficient |
| r_itri,t | −0.062 (0.538) | |
| r_itri,t−1 | 0.493 (0.000) | |
| r_exci,t | 0.523 (0.128) | |
| r_exci,t−1 | 0.539 (0.000) | |
| Cross-sections | 26 | 26 |
| Observations | 494 | 494 |
| R-squared | 0.38 | 0.46 |
| CD Test by Pesaran (2015) | 7.75 (0.000) | −0.200 (0.842) |
| F-Statistic | 0.54 (1.000) | 0.750 (0.999) |
| DCCE (1) (r_Itri,t) | DCCE (2) (r_exci,t) | |
|---|---|---|
| Variable | Coefficient | Coefficient |
| r_itri,t | −0.062 (0.538) | |
| r_itri,t−1 | 0.493 (0.000) | |
| r_exci,t | 0.523 (0.128) | |
| r_exci,t−1 | 0.539 (0.000) | |
| Cross-sections | 26 | 26 |
| Observations | 494 | 494 |
| 0.38 | 0.46 | |
| CD Test by Pesaran (2015) | 7.75 (0.000) | −0.200 (0.842) |
| 0.54 (1.000) | 0.750 (0.999) |
Notes:
The p-values for the coefficients are in parentheses. ***Indicates statistical significance at the 1% level