Table 5.
LM unit root test results for Model AA
| Variable | Lag order | TB1, TB2 | B1(t) | B2(t) | LM test statistic |
|---|---|---|---|---|---|
| Brent Spot | 6 | 11 August 2000, 17 January 2001 | 2.7868*** (2.5406) | 2.2902** (2.0739) | −2.3594 |
| Brent 1-month | 8 | 31 January 2001, 7 May 2003 | 3.3134*** (3.3241) | 2.9272*** (2.8599) | −2.1822 |
| Brent 3-month | 7 | 8 November 2000, 5 March 2003 | 1.7986** (2.1640) | 1.4258* (1.7328) | −1.9101 |
| Brent 6-month | 3 | 31 January 2001, 1 August 2001 | 2.5141*** (3.4517) | 0.8011 (1.0989) | −2.5974 |
| WTI Spot | 7 | 7 June 2000, 7 May 2003 | 3.2294*** (2.8400) | 2.6347*** (2.3282) | −2.0605 |
| WTI 1-month | 7 | 12 January 2000, 7 May 2003 | 3.1693*** (2.9004) | 2.7283*** (2.4996) | −2.0182 |
| WTI 3-month | 7 | 8 November 2000, 7 May 2003 | 2.0606** (2.2611) | 1.9785** (2.1885) | −1.7203 |
| WTI 6-month | 7 | 7 May 2003, 4 April 2003 | 1.2168* (1.6772) | 1.2897* (1.7841) | −1.4620 |
Note: TB1 and TB2 are the dates of the structural breaks; B1(t) and B2(t) are the dummy variables for the structural breaks in the intercept. Figures in parentheses are t-values. The critical values for the LM test at 10%, 5% and 1% significance levels are −3.504, −3.842, −4.545. *, ** and *** denote statistical significance at the 10%, 5% and 1% levels, respectively.