Table 2 Construction of financial development index with principal components
From: Growth, bank credit, and inflation in Mexico: evidence from an ARDL-bounds testing approach
(a) Tests for factorability | |
Determinant of the matrix of correlation | 0.64 |
Bartlett’s test for sphericity | 17.896 |
(0.000)* | |
Kaiser–Meyer–Olkin measure | 0.628 |
Number | Value | Difference | Proportion | Cumulative value | Cumulative proportion |
|---|---|---|---|---|---|
(b) Principal component analysis | |||||
Eigenvalues: (sum = 3, average = 1) | |||||
1 | 1.779808 | 1.058529 | 0.5933 | 1.779808 | 0.5933 |
2 | 0.721279 | 0.222366 | 0.2404 | 2.501087 | 0.8337 |
3 | 0.498913 | – | 0.1663 | 3.000000 | 1.0000 |
Variable | PCA 1 | PCA 2 | PCA 3 |
|---|---|---|---|
Eigenvectors | |||
Private credit, PC | 0.592926 | −0.477843 | −0.779316 |
Bank assets, BA | 0.517591 | 0.842761 | 0.255323 |
Liquid liabilities, LL | 0.616878 | −0.582972 | 0.572257 |