From: The economic integration of Spain: a change in the inflation pattern
No trend specification | Trend specification | |||||||
---|---|---|---|---|---|---|---|---|
\( k \) | \( {\text{ADF}}_{{\hat{e}}}^{c} (i) \) | \( S_{{\hat{e}_{1} }}^{c} (i) \) | \( k \) | \( {\text{ADF}}_{{\hat{e}}}^{\tau } (i) \) | \( S_{{\hat{e}_{1} }}^{\tau } (i) \) | \( \frac{{\sigma (\Delta \hat{e}_{it} )}}{{\sigma (\Delta \pi_{it} )}} \) | \( \frac{{\sigma (\lambda^{{\prime }}_{i} F_{t} )}}{{\sigma (\hat{e}_{it} )}} \) | |
Álava | 4 | −3.969*** | 0.103 | 0 | −3.990*** | 0.092 | 0.713 | 1.808 |
Albacete | 0 | −4.315*** | 0.282* | 0 | −4.611*** | 0.110* | 0.621 | 2.513 |
Alicante | 5 | −4.327*** | 0.099 | 2 | −4.582*** | 0.067 | 0.566 | 2.728 |
Almería | 0 | −3.904*** | 0.056 | 0 | −4.115*** | 0.056 | 0.604 | 2.299 |
Asturias | 0 | −3.997*** | 0.072 | 0 | −4.182*** | 0.068 | 0.704 | 2.018 |
Ávila | 0 | −3.956*** | 0.102 | 0 | −4.360*** | 0.101* | 0.713 | 2.020 |
Badajoz | 8 | −4.871*** | 0.053 | 0 | −4.879*** | 0.052 | 0.579 | 3.554 |
Balears, Illes | 5 | −3.026*** | 0.386** | 5 | −2.917** | 0.190*** | 0.814 | 1.452 |
Barcelona | 0 | −3.631*** | 0.092 | 0 | −3.801*** | 0.085 | 0.773 | 2.223 |
Bizkaia | 1 | −4.503*** | 0.187 | 1 | −5.116*** | 0.072 | 0.734 | 2.348 |
Burgos | 1 | −2.855*** | 0.199 | 1 | −3.317*** | 0.047 | 0.790 | 2.568 |
Cáceres | 5 | −4.361*** | 0.284* | 5 | −4.368*** | 0.039 | 0.713 | 2.504 |
Cádiz | 2 | −4.048*** | 0.100 | 2 | −4.089*** | 0.077 | 0.621 | 2.501 |
Cantabria | 0 | −4.841*** | 0.113 | 0 | −4.861*** | 0.065 | 0.796 | 1.747 |
Castellón | 2 | −3.493*** | 0.403** | 2 | −3.781*** | 0.100* | 0.647 | 1.758 |
Ciudad Real | 0 | −3.315*** | 0.226 | 0 | −3.823*** | 0.064 | 0.793 | 1.429 |
Córdoba | 0 | −2.263** | 0.245* | 0 | −3.055** | 0.062 | 0.481 | 2.678 |
Coruña, A | 7 | −3.194*** | 0.601*** | 7 | −3.345*** | 0.194*** | 0.679 | 2.894 |
Cuenca | 3 | −3.709*** | 0.193 | 2 | −4.115*** | 0.106* | 0.476 | 2.903 |
Gipuzkoa | 6 | −4.536*** | 0.171 | 6 | −4.670*** | 0.043 | 0.642 | 2.732 |
Girona | 1 | −3.995*** | 0.228 | 1 | −4.087*** | 0.071 | 0.826 | 2.256 |
Granada | 0 | −4.153*** | 0.117 | 0 | −4.306*** | 0.092 | 0.616 | 2.984 |
Guadalajara | 1 | −4.610*** | 0.073 | 1 | −4.615*** | 0.056 | 0.699 | 2.496 |
Huelva | 0 | −4.262*** | 0.107 | 2 | −4.252*** | 0.063 | 0.692 | 2.854 |
Huesca | 4 | −3.838*** | 0.216 | 4 | −4.414*** | 0.114* | 0.689 | 2.441 |
Jaén | 0 | −4.883*** | 0.068 | 0 | −4.876*** | 0.054 | 0.639 | 2.371 |
León | 2 | −5.574*** | 0.142 | 2 | −5.555*** | 0.052 | 0.583 | 2.646 |
Lleida | 0 | −3.462*** | 0.134 | 0 | −3.565*** | 0.068 | 0.755 | 2.075 |
Lugo | 0 | −4.357*** | 0.043 | 0 | −4.586*** | 0.027 | 0.706 | 2.334 |
Madrid | 1 | −3.878*** | 0.467** | 1 | −4.187*** | 0.209*** | 0.545 | 2.426 |
Málaga | 0 | −4.878*** | 0.276* | 0 | −4.877*** | 0.061 | 0.642 | 2.531 |
Murcia | 3 | −3.824*** | 0.051 | 0 | −4.072*** | 0.037 | 0.478 | 3.477 |
Navarra | 0 | −3.068*** | 0.073 | 0 | −3.605*** | 0.035 | 0.659 | 2.131 |
Ourense | 5 | −5.854*** | 0.039 | 5 | −5.858*** | 0.025 | 0.745 | 2.371 |
Palencia | 0 | −4.587*** | 0.056 | 0 | −4.587*** | 0.056 | 0.581 | 3.382 |
Palmas, Las | 3 | −2.388** | 0.755*** | 3 | −3.459*** | 0.072 | 0.879 | 1.259 |
Pontevedra | 2 | −3.528*** | 0.421** | 2 | −4.335*** | 0.026 | 0.742 | 2.182 |
Rioja, La | 8 | −3.044*** | 0.262* | 5 | −3.015** | 0.121* | 0.713 | 1.947 |
Salamanca | 0 | −4.158*** | 0.079 | 0 | −4.174*** | 0.081 | 0.684 | 1.924 |
Santa Cruz de Tenerife | 2 | −3.187*** | 0.475** | 2 | −4.164*** | 0.057 | 0.947 | 0.607 |
Segovia | 0 | −4.200*** | 0.069 | 0 | −4.299*** | 0.052 | 0.641 | 3.076 |
Sevilla | 0 | −4.951*** | 0.182 | 0 | −4.991*** | 0.066 | 0.632 | 2.607 |
Soria | 3 | −2.820*** | 0.115 | 3 | −2.792** | 0.105* | 0.725 | 2.173 |
Tarragona | 3 | −4.006*** | 0.097 | 0 | −4.002*** | 0.096 | 0.645 | 3.100 |
Teruel | 1 | −3.876*** | 0.199 | 1 | −4.062*** | 0.147** | 0.778 | 2.225 |
Toledo | 4 | −3.443*** | 0.704*** | 4 | −3.980*** | 0.062 | 0.816 | 1.779 |
Valencia | 0 | −5.692*** | 0.096 | 0 | −5.747*** | 0.049 | 0.687 | 1.853 |
Valladolid | 0 | −3.199*** | 0.107 | 0 | −3.241*** | 0.081 | 0.744 | 1.807 |
Zamora | 0 | −2.091** | 0.139 | 0 | −2.738** | 0.129** | 0.751 | 1.290 |
Zaragoza | 1 | −5.986*** | 0.036 | 1 | −6.000*** | 0.035 | 0.581 | 3.021 |
Critical values | ||||||||
1 % | −2.580 | 0.536 | −3.167 | 0.185 | ||||
5 % | −1.950 | 0.324 | −2.577 | 0.122 | ||||
10 % | −1.620 | 0.235 | −2.314 | 0.098 | ||||
Bai and Ng (2004a) pooled statistics | ||||||||
\( P_{{\hat{e}}}^{c} \) | 809.457*** | N.A. | \( P_{{\hat{e}}}^{\tau } \) | 810.675*** | N.A. | |||
\( Z_{{\hat{e}}}^{c} \) | 50.166*** | N.A. | \( Z_{{\hat{e}}}^{\tau } \) | 50.252*** | N.A. | |||
Bai and Ng (2010) pooled statistics | ||||||||
\( P_{a}^{c} \) | −70.372*** | \( P_{a}^{\tau } \) | −51.347*** | |||||
\( P_{b}^{c} \) | −17.300*** | \( P_{b}^{\tau } \) | −18.592*** | |||||
\( {\text{PMSB}}^{c} \) | −4.972*** | \( {\text{PMSB}}^{\tau } \) | −6.358*** |
Common factor analysis | Statistic | Critical values | Statistic | Critical values | |||||
---|---|---|---|---|---|---|---|---|---|
1 % | 5 % | 10 % | 1 % | 5 % | 10 % | ||||
\( {\text{ADF}}_{{\hat{F}}}^{c} \) | −2.783* | −3.430 | −2.860 | −2.570 | \( {\text{ADF}}_{{\hat{F}}}^{\tau } \) | −3.427** | −3.960 | −3.410 | −3.120 |
\( S_{{\hat{F}}}^{c} \) | 1.185*** | 0.743 | 0.463 | 0.343 | \( S_{{\hat{F}}}^{\tau } \) | 0.371*** | 0.215 | 0.149 | 0.120 |