Re-estimation of the savings retention coefficient in OECD countries: a new measure of home country bias

Journal of Economic Structures

The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 1 Panel unit root test

	Case 1	Case 2	Case 3	Case 4
Periods	1960–1974	1960–1974	1960–1969	1970–1979	1980–1989	1990–1999	2000–2008	2009–2014	2000–2014
CIPS of \(\widetilde{I}_{it}\)	− 1.5946*	− 2.1248*	− 5.8300***	− 1.7953**	− 2.1470*	− 2.4335**	− 1.6222**	− 5.7017***	− 1.6654**
ADF Type	None	Constant	Const. + Tre	None	Constant	Constant	None	Const. + Tre	None
IPS	− 1.5648*	− 2.1770**	− 2.2987**	− 1.6769**	− 2.7004***	− 1.8643**	− 1.9130**	− 3.6768***	− 2.5682***
CIPS of \(\widetilde{S}_{it}\)	− 1.5312*	− 2.1149*	− 3.1990***	− 5.6749***	− 2.2202*	− 3.6409***	− 2.8321*	− 6.1013***	− 1.3800
ADF Type	None	Constant	Constant	Const. + Tre	Constant	Const. + Tre	Const. + Tre	Const. + Tre
IPS	− 2.2421**	− 2.8813***	− 2.8096***	− 2.8813***	− 2.1426**	− 2.3230**	− 0.0147	− 4.5989***	− 1.9219**

^*, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. The CPIS tests which assume serial correlated errors are based on the t-statistics of the OLS estimate of \({\rho }_{i}\) in the following regression for the series: \({\left\{{y}_{it}\right\}}_{i=1,\cdots ,N}^{t=0,\cdots ,T}\),
\(\Delta {y}_{it}={\alpha }_{i}+{\gamma }_{i}t+{\rho }_{i}{y}_{it-1}+{c}_{i}{\overline{y} }_{t-1}+\sum_{j=0}^{p}{d}_{ij}\Delta {\overline{y} }_{t-j}+\sum_{j=1}^{p}{\beta }_{ij}\Delta {y}_{it-j}+{\mu }_{it},\)
where \({\overline{y} }_{t-1}=\left(\frac{1}{N}\right)\sum_{i=1}^{N}{y}_{it-1}\,and\,\Delta {\overline{y} }_{t}=\left(\frac{1}{N}\right)\sum_{i=1}^{N } \Delta {y}_{it}\).
Three ADF types were tested, such as Type 1 (Const. + Tre.): \({\alpha }_{i}\ne 0\) and \({\gamma }_{i}\ne 0\), Type 2 (Constant): \({\gamma }_{i}=0\) and Type 3 (None): \({\alpha }_{i}\ne 0\) and\({\gamma }_{i}=0\). Repeated CPIS tests were applied from Type 1 to Type 3 until the null hypothesis was rejected at the 10%, 5%, and 1% significance levels. The test results of the CPIS tests are reported in Table 1, where the results of the IPS tests (panel unit root test with cross-sectional independence) were also reported for comparison with the CIPS test. The lag length p was automatically chosen based on AIC.