Table 2.
Lee and Strazicich Unit Root test with breaks.
| Variable | 1st Break Date (Break Date at 1st Diff) | 2nd Break Date (Break Date at 1st Diff) | T Stat. at Level | T Stat. at 1st diff. | Order of Integration |
|---|---|---|---|---|---|
| LNSEASI | 03/06/2013 | 03/03/2017 | -1.85 | -33.49 | I (1) |
| LBRVMCOM | 29/10/2012 | 14/10/2013 | -3.61 | -46.38 | I (1) |
| LGSECOM | 02/07/2015 | 20/02/2018 | -1.40 | -51.68 | I (1) |
| LSP500 | 14/11/2014 | 11/02/2016 | -4.62 | -47.58 | I (1) |
| LFTSE100 | 22/12/2014 | 24/12/2015 | -4.89 | -44.72 | I (1) |
Note: Critical values at 1%, 5% and 10% are -5.44, -4.92 and -4.53 respectively.
The General-to-Specific (GTOS) lag length selection criterion is used to select the lag order.
Varying the trend specifications (in respect of the trend and break) does not change the basic conclusions.