Table 7. Estimation Result of Dynamic Factor Model

Δlnyi,t=αi×ct+ei,t,ei,ti.i.d.N(0,σi2)ct=ϕ×ct1+vt,vti.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.