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Table 1 Panel unit root tests

From: Determinants of social spending in Latin America during and after the Washington consensus: a dynamic panel error-correction model analysis

Variable CD test Panel unit test, constant and linear time trend, Ho, pp. unit root, levels Panel unit test, constant and linear time trend, Ho, pp. unit root, differences (growths)
Im et al. (2003) Fisher z (Choi 2001) Im et al. (2003) Fisher z (Choi 2001)
Total social expenditure 30.59 (0.000) 1.696 (0.955) 1.987 (0.976) − 2.758*** (0.003) − 2.716*** (0.003)
Education expenditure 27.58 (0.000) 1.768 (0.961) 2.253 (0.987) − 7.135*** (0.000) − 8.156*** (0.000)
Health expenditure 22.42 (0.000) 0.951 (0.823) 1.404 (0.919) − 7.820*** (0.000) − 8.862*** (0.000)
Social security expenditure 16.96 (0.000) 0.264 (0.604) 0.842 (0.800) − 5.243*** (0.000) − 5.695*** (0.000)
Per capita income (logged) 46.40 (0.000) 1.662 (0.952) 2.561 (0.995) − 7.265*** (0.000) − 8.243*** (0.000)
Tax burden 28.73 (0.000) − 0.748 0.227 − 0.339 (0.367) − 7.257*** (0.000) − 8.101*** (0.000)
Trade (% of GDP) 22.57 (0.000) 0.766 (0.778) 1.469 (0.929) − 6.810*** (0.000) − 7.787*** (0.000)
Foreign direct investment inflows (%GNI) 14.00 (0.000) − 0.447 (0.327) − 0.078 (0.469) − 12.351*** (0.000) − 13.722*** (0.000)
External debt (%GNI) 16.45 (0.000) 0.166 (0.566) 0.265 (0.605) − 7.594*** (0.000) − 8.663*** (0.000)
Interest payments on debt 20.42 (0.000) − 1.092 (0.137) − 0.571 (0.284) − 10.520*** (0.000) − 11.737*** (0.000)
Unemployment 8.24 (0.000) 0.430 (0.666) 0.458 (0.676) − 8.029*** (0.000) − 3.500*** (0.000)
Population over 65/total 55.13 (0.000) 2.839 (0.997) 1.429 (0.923) − 1.406* (0.079) − 1.397* (0.082)
Democracy   − 5.129*** (0.000) − 4.667*** (0.000)   
(0.994) (0.998)   
Right-wing party dummy   2.042 (0.979) 2.460 (0.993) − 4.694*** (0.000) − 5.139*** (0.000)
  1. pp. CD Test, pp. Pesaran’s (2004) cross-sectional dependence (CD) test, has a null hypothesis cross-section independence. In all cases, the null hypothesis is rejected for all variables. Then we use second generation panel data unit root tests, which allow cross-sectional dependence. Im et al. (2003) and Fisher-type (Choi 2001) tests have as the null hypothesis with all the panels that contain a unit root. Panel unit root test is performed using the Stata “xtunitroot”. Number of lags was selected using the AIC criterion
  2. p values in parenthesis. ***, ** and * denote statistical significance at the 1, 5 and 10% levels, respectively for stationary variables. Democracy variable is stable in time, so it is already I(0), which means that the variable was generated by a stationary process