Table 7. Estimation Result of Dynamic Factor Model
Δlnyi,t=αi×ct+ei,t, ei,t ∼i.i.d.N(0,σi2)ct=ϕ× ct−1+ vt, vt∼i.i.d.N(0,σv2) |
- | Estimate | Standard error |
ø | 0.866*** | 0.014 |
αc | 0.832*** | 0.006 |
αp | 0.961*** | 0.005 |
σc2 | 0.004 | - |
σp2 | 0.000 | - |
Note: indicate significance at 1% level.