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Table 1 Estimation results for the error correction term coefficient: with and without instruments

From: Purchasing power parity in Mexico since 1933

ECM No IVa m = 14 m = 15 m = 16 m = 17 m = 18 m = 19 m = 20 m = 21 m = 22 m = 23 m = 24
ZMEX1 −0.0333 −0.1210 −0.1077 −0.0879 −0.0891 −0.0799 −0.0740 −0.0814 −0.0821 −0.0801 −0.0811 0.0716
−4.179 −2.078 −2.389 −2.307 −2.644 −2.657 −2.667 −3.080 −3.232 −3.288 −3.463 −3.199
ZMEX2 −0.0328 −0.1193 −0.1063 −0.0866 −0.0877 −0.0785 −0.0726 −0.0801 −0.0807 −0.0789 −0.0799 0.0705
−4.145 −2.054 −2.363 −2.278 −2.608 −2.614 −2.622 −3.036 −3.187 −3.246 −3.423 −3.159
ZMEX3 −0.0434 −0.1367 −0.1213 −0.0988 −0.0969 −0.0846 −0.0790 −0.0857 −0.0850 −0.0833 −0.0847 0.0753
−4.327 −2.219 −2.610 −2.535 −2.829 −2.770 −2.810 −3.218 −3.333 −3.409 −3.612 −3.352
  1. aThe 5% critical value for the ECMs without IVs is −3.218 and the 1% critical value is −3.804. The critical values are obtained using the response surfaces in Ericsson and MacKinnon (2002), as implemented in the program ECMtest.xls, version 1.0 (Ericsson and MacKinnon 2000). Since the test statistics from the IV estimations are asymptotically normal, the significant values are −1.645 at the 5% level and −2.327 at the 1% level