Table 3.
LM unit root test results for Model A
| Variable | Lag order | TB | B(t) | LM test statistic |
|---|---|---|---|---|
| Brent Spot | 7 | 8 November 2000 | 2.4073** (2.1951) | −1.8959 |
| Brent 1-month | 7 | 8 November 2000 | 2.2698** (2.2762) | −1.7924 |
| Brent 3-month | 7 | 8 November 2000 | 1.7886** (2.1651) | −1.7673 |
| Brent 6-month | 7 | 31 January 2001 | 2.2906*** (3.2881) | −1.5882 |
| WTI Spot | 7 | 7 May 2003 | 2.6236*** (2.3244) | −1.8851 |
| WTI 1-month | 7 | 7 May 2003 | 2.7499*** (2.5212) | −1.8619 |
| WTI 3-month | 7 | 7 May 2003 | 1.9549** (2.1659) | −1.5657 |
| WTI 6-month | 6 | 11 June 2003 | 1.3865* (1.8179) | −2.4359 |
Note: TB is the date of the structural break; B(t) is the dummy variable for the structural break in the intercept. Figures in parentheses are t-values. Critical values for the LM test statistic from Lee and Strazicich (2004) at the 10%, 5% and 1% significance levels are −3.211, −3.566, −4.239. Critical values for the dummy variables follow the standard normal distribution. *, ** and *** denote statistical significance at the 10%, 5% and 1% levels, respectively.