From: The economic integration of Spain: a change in the inflation pattern
No trend specification | Trend specification | |||||||
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\( k \) | \( {\text{ADF}}_{{\hat{e}}}^{c} (i) \) | \( S_{{\hat{e}_{1} }}^{c} (i) \) | \( k \) | \( {\text{ADF}}_{{\hat{e}}}^{\tau } (i) \) | \( S_{{\hat{e}_{1} }}^{\tau } (i) \) | \( \frac{{\sigma (\Delta \hat{e}_{it} )}}{{\sigma (\Delta \pi_{it} )}} \) | \( \frac{{\sigma (\lambda^{{\prime }}_{i} F_{t} )}}{{\sigma (\hat{e}_{it} )}} \) | |
Álava | 5 | −4.337*** | 0.148 | 5 | −5.455*** | 0.057 | 0.523 | 3.665 |
Albacete | 7 | −3.058*** | 0.293* | 7 | −4.592*** | 0.109* | 0.478 | 4.393 |
Alicante | 8 | −5.769*** | 0.068 | 8 | −5.884*** | 0.042 | 0.425 | 4.434 |
Almería | 4 | −3.722*** | 0.115 | 4 | −4.311*** | 0.087 | 0.607 | 3.418 |
Asturias | 4 | −2.763*** | 0.091 | 4 | −3.964*** | 0.063 | 0.498 | 2.880 |
Ávila | 1 | −5.079*** | 0.057 | 0 | −5.082*** | 0.042 | 0.556 | 3.218 |
Badajoz | 0 | −4.082*** | 0.073 | 0 | −4.335*** | 0.062 | 0.426 | 4.715 |
Balears, Illes | 5 | −7.753*** | 0.067 | 3 | −8.751*** | 0.061 | 0.521 | 4.964 |
Barcelona | 0 | −4.111*** | 0.420** | 1 | −4.638*** | 0.166** | 0.538 | 4.125 |
Bizkaia | 1 | −1.824* | 0.447** | 3 | −2.959** | 0.159** | 0.503 | 3.543 |
Burgos | 2 | −7.806*** | 0.130 | 2 | −8.060*** | 0.063 | 0.529 | 5.359 |
Cáceres | 1 | −3.972*** | 0.083 | 2 | −4.041*** | 0.064 | 0.485 | 3.707 |
Cádiz | 5 | −3.923*** | 0.068 | 5 | −4.791*** | 0.068 | 0.531 | 5.720 |
Cantabria | 7 | −7.205*** | 0.192 | 3 | −7.666*** | 0.124** | 0.412 | 4.703 |
Castellón | 2 | −6.442*** | 0.219 | 2 | −6.403*** | 0.062 | 0.591 | 4.561 |
Ciudad Real | 0 | −6.191*** | 0.283* | 0 | −6.725*** | 0.089 | 0.478 | 4.737 |
Córdoba | 8 | −5.243*** | 0.186 | 0 | −5.127*** | 0.160** | 0.375 | 4.572 |
Coruña, A | 1 | −2.781*** | 0.122 | 1 | −4.841*** | 0.078 | 0.619 | 2.706 |
Cuenca | 0 | −4.685*** | 0.101 | 0 | −6.507*** | 0.038 | 0.346 | 3.451 |
Gipuzkoa | 2 | −3.642*** | 0.386** | 2 | −6.034*** | 0.062 | 0.616 | 2.587 |
Girona | 8 | −4.414*** | 0.119 | 8 | −4.848*** | 0.070 | 0.426 | 5.012 |
Granada | 2 | −5.377*** | 0.046 | 5 | −5.370*** | 0.046 | 0.476 | 4.820 |
Guadalajara | 4 | −5.199*** | 0.101 | 3 | −5.132*** | 0.083 | 0.455 | 4.684 |
Huelva | 0 | −3.011*** | 0.073 | 3 | −4.153*** | 0.046 | 0.423 | 4.205 |
Huesca | 8 | −4.032*** | 0.089 | 8 | −5.438*** | 0.029 | 0.615 | 3.869 |
Jaén | 2 | −6.002*** | 0.059 | 2 | −7.693*** | 0.044 | 0.559 | 4.025 |
León | 3 | −5.093*** | 0.268* | 3 | −5.593*** | 0.101* | 0.418 | 6.499 |
Lleida | 3 | −4.560*** | 0.088 | 3 | −5.276*** | 0.089 | 0.659 | 3.487 |
Lugo | 4 | −9.404*** | 0.042 | 4 | −9.433*** | 0.020 | 0.608 | 3.319 |
Madrid | 0 | −3.535*** | 0.074 | 0 | −3.926*** | 0.051 | 0.431 | 4.052 |
Málaga | 8 | −3.856*** | 0.087 | 8 | −4.861*** | 0.075 | 0.702 | 3.213 |
Murcia | 3 | −6.596*** | 0.102 | 3 | −6.677*** | 0.076 | 0.492 | 4.704 |
Navarra | 0 | −4.801*** | 0.523** | 0 | −4.900*** | 0.318*** | 0.340 | 6.899 |
Ourense | 2 | −3.564*** | 0.107 | 7 | −4.056*** | 0.097 | 0.776 | 1.141 |
Palencia | 7 | −5.147*** | 0.157 | 7 | −5.186*** | 0.115* | 0.469 | 4.851 |
Palmas, Las | 1 | −2.821*** | 0.082 | 3 | −3.881*** | 0.085 | 0.792 | 1.305 |
Pontevedra | 7 | −2.664*** | 0.096 | 7 | −3.117** | 0.064 | 0.624 | 3.713 |
Rioja, La | 0 | −4.420*** | 0.174 | 0 | −4.708*** | 0.100* | 0.527 | 4.309 |
Salamanca | 2 | −3.539*** | 0.058 | 2 | −4.897*** | 0.049 | 0.542 | 5.490 |
Santa Cruz de Tenerife | 3 | −2.825*** | 0.043 | 8 | −4.731*** | 0.043 | 0.819 | 1.249 |
Segovia | 0 | −3.453*** | 0.358** | 0 | −3.815*** | 0.186*** | 0.535 | 3.487 |
Sevilla | 3 | −5.055*** | 0.231 | 3 | −5.054*** | 0.178** | 0.309 | 7.085 |
Soria | 1 | −5.262*** | 0.078 | 1 | −5.177*** | 0.082 | 0.590 | 5.611 |
Tarragona | 0 | −4.923*** | 0.289* | 0 | −6.262*** | 0.101* | 0.555 | 3.805 |
Teruel | 7 | −3.801*** | 0.188 | 7 | −5.345*** | 0.074 | 0.534 | 3.539 |
Toledo | 3 | −4.922*** | 0.029 | 3 | −6.685*** | 0.029 | 0.412 | 4.731 |
Valencia | 1 | −4.421*** | 0.079 | 1 | −5.820*** | 0.044 | 0.465 | 3.675 |
Valladolid | 0 | −5.908*** | 0.106 | 0 | −6.246*** | 0.065 | 0.377 | 7.411 |
Zamora | 0 | −6.451*** | 0.160 | 0 | −6.497*** | 0.072 | 0.537 | 4.501 |
Zaragoza | 1 | −7.648*** | 0.052 | 0 | −8.372*** | 0.034 | 0.480 | 4.665 |
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 | ||||||||
\( P_{{\hat{e}}}^{c} \) | 835.432*** | N.A. | \( P_{{\hat{e}}}^{\tau } \) | 895.914*** | N.A. | |||
\( Z_{{\hat{e}}}^{c} \) | 52.003*** | N.A. | \( Z_{{\hat{e}}}^{\tau } \) | 56.280*** | N.A. | |||
Bai and Ng (2010) pooled statistics | ||||||||
\( P_{a}^{c} \) | −8.448*** | \( P_{a}^{\tau } \) | −15.370*** | |||||
\( P_{b}^{c} \) | −5.343*** | \( P_{b}^{\tau } \) | −8.698*** | |||||
\( {\text{PMSB}}^{c} \) | −3.231*** | \( {\text{PMSB}}^{\tau } \) | −4.722*** |
Common factor analysis | Statistic | Critical values | Statistic | Critical values | |||||
---|---|---|---|---|---|---|---|---|---|
1 % | 5 % | 10 % | 1 % | 5 % | 10 % | ||||
\( {\text{ADF}}_{{\hat{F}}}^{c} \) | −2.022 | −3.430 | −2.860 | −2.570 | \( {\text{ADF}}_{{\hat{F}}}^{\tau } \) | −2.408 | −3.960 | −3.410 | −3.120 |
\( S_{{\hat{F}}}^{c} \) | 3.608*** | 0.743 | 0.463 | 0.343 | \( S_{{\hat{F}}}^{\tau } \) | 0.859*** | 0.215 | 0.149 | 0 .120 |