Table 3. Single-equation and multivariate cointegration tests with and without structural break(s).

Single-equation cointegration tests
Engle and Granger (1987)	Gregory and Hansen (1996)		Hatemi (2008)
No breaks	1 (endogenous) break		up to 2 (endogenous) breaks
Tau statistic	Z-t statistic	Break date	Z-t statistic	Break dates
−3.83	−4.82	2009M11	−5.29	2006M1 2009M1

Single-equation and multivariate cointegration tests with and without structural break(s). The null hypothesis for all tests is the absence of cointegration. All the tests considered the case of no deterministic trend in the data and an intercept in the cointegration equation (CE), centered seasonal dummies outside the CE, while the number of lags is chosen using the Schwartz criterion. The tests allowing for break(s) considered the case of a level shift. * Significant at the 5% level.