Table 10.
Gregory-Hansen test of cointegration with regime shifts: model: change in level
| Test | Statistic | Breakpoint | Date | 1% | 5% | 10% |
|---|---|---|---|---|---|---|
| ADF | -5.31*** | 39 | 1996 | -5.23 | -4.40 | -4.25 |
| Zt | -3.75 | 38 | 1995 | -6.23 | -5.40 | -5.25 |
| Za | -20.82 | 38 | 1995 | -53.20 | -25.58 | -22.71 |
| Gregory–Hansen test of cointegration with regime shifts: model: change in level and trend | ||||||
| ADF | -5.64** | 28 | 1993 | -5.98 | -5.21 | -5.05 |
| Zt | -5.01 | 46 | 2008 | -5.98 | -5.21 | -5.05 |
| Za | -25.36 | 46 | 2008 | -58.72 | -30.41 | -27.10 |
| Gregory–Hansen test of cointegration with regime shifts: model: change in regime | ||||||
| ADF | -5.77** | 35 | 1993 | -6.14 | -5.48 | -5.30 |
| Zt | -4.98 | 34 | 1994 | -6.14 | -5.48 | -5.30 |
| Za | -36.53 | 34 | 1994 | -50.82 | -47.50 | -39.51 |
| Gregory–Hansen test of cointegration with regime shifts: model: change in regime and trend | ||||||
| ADF | -5.71* | 35 | 1993 | -6.30 | -5.98 | -5.58 |
| Zt | -5.23 | 34 | 1994 | -6.30 | -5.98 | -5.58 |
| Za | -30.63 | 34 | 1994 | -58.61 | -45.44 | -40.35 |
Source: Authors’ calculations
*, ** and *** denote statistical significance at 10%, 5% and 1% levels, respectively