Table 8 SLOPE regression Variables Model...

Table 8

SLOPE regression

Variables	Model 1	Model 2	Model 3	Model 4	Model 5	Model 6
L.SLOPE	0.516^***	0.256^***	0.497^***	0.195^***	0.511^***	0.419
L.SLOPE	(0.0693)	(0.0676)	(0.0813)	(0.0600)	(0.0669)	(0.330)
Y1	−0.257^***	−0.443^***	−0.270^***	−0.468^***	−0.273^***	−0.127
Y1	(0.0453)	(0.0558)	(0.0525)	(0.0472)	(0.0591)	(0.0940)
INF	0.0464^**	0.0968^***	0.0583^**	0.104^***	0.0236	−0.0253
INF	(0.0221)	(0.0129)	(0.0275)	(0.0114)	(0.0335)	(0.0339)
FX_C	2.418^***	4.280^**	5.286^***	9.778^***	3.365^*	11.43^**
FX_C	(0.825)	(1.831)	(1.947)	(1.988)	(2.004)	(4.841)
GOV_DEBT	−0.0362	−0.221^***	−0.0370	−0.213^***	−0.0646	0.415^**
GOV_DEBT	(0.0353)	(0.0460)	(0.0395)	(0.0497)	(0.0707)	(0.208)
Constant	2.936^**	13.41^***	2.920^**	13.18^***	4.692^*	−17.72^*
Constant	(1.276)	(2.766)	(1.415)	(2.609)	(2.434)	(9.601)
Estimator	MGIV	2SIV	MGIV	2SIV	MGIV	2SIV
Observations	1,260	1,260	1,260	1,260	1,260	1,260
Variance explained		0.928		0.918		0.755
No of instruments		6		6		6
No of factors		3		3		1
Hansen test (p value)		0.955		0.907		0.972

Variables	Model 1	Model 2	Model 3	Model 4	Model 5	Model 6
L.SLOPE	0.516^***	0.256^***	0.497^***	0.195^***	0.511^***	0.419
L.SLOPE	(0.0693)	(0.0676)	(0.0813)	(0.0600)	(0.0669)	(0.330)
Y1	−0.257^***	−0.443^***	−0.270^***	−0.468^***	−0.273^***	−0.127
Y1	(0.0453)	(0.0558)	(0.0525)	(0.0472)	(0.0591)	(0.0940)
INF	0.0464^**	0.0968^***	0.0583^**	0.104^***	0.0236	−0.0253
INF	(0.0221)	(0.0129)	(0.0275)	(0.0114)	(0.0335)	(0.0339)
FX_C	2.418^***	4.280^**	5.286^***	9.778^***	3.365^*	11.43^**
FX_C	(0.825)	(1.831)	(1.947)	(1.988)	(2.004)	(4.841)
GOV_DEBT	−0.0362	−0.221^***	−0.0370	−0.213^***	−0.0646	0.415^**
GOV_DEBT	(0.0353)	(0.0460)	(0.0395)	(0.0497)	(0.0707)	(0.208)
Constant	2.936^**	13.41^***	2.920^**	13.18^***	4.692^*	−17.72^*
Constant	(1.276)	(2.766)	(1.415)	(2.609)	(2.434)	(9.601)
Estimator	MGIV	2SIV	MGIV	2SIV	MGIV	2SIV
Observations	1,260	1,260	1,260	1,260	1,260	1,260
Variance explained		0.928		0.918		0.755
No of instruments		6		6		6
No of factors		3		3		1
Hansen test (p value)		0.955		0.907		0.972

Note(s): Robust standard errors in parentheses

^***p < 0.01, ^**p < 0.05, ^*p < 0.1

This table^a reports mean group instrumental variables (MGIV) and two stages of instrumental variables estimation (2SIV) developed by Kripfganz and Sarafidis (2021) for the Dependent variable: SLOPE. Model 1,3, and 5 are MGIV type and corresponds to instruments set I, II, and III; respectively, model 2,4,6 is of 2 SIV Type. Statistics information presented includes coefficients, standard error (in parentheses), type of estimators, number of observations, variance explained (by factors), number of factors, and Overidentifying restriction test (Hansen test p-value). The level of significance at 0.01, 0.05, and 0.10 are denoted by ^***, ^**, and ^*, respectively

^aAs recommended by Kripfganz and Sarafidis (2021), we use lagged form (at the order of 2 or 3) of extracted factors for Instrumented variables. In baseline regressions w use 2; while for robustness we use 3. This practice has caused reduction of number of observations used in estimation (to 1,260 for Tables 8 and 9; and 1,251 for Tables 10 and 11

Source(s): Authors' calculation

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