Table 3. Zivot-Andrews test results:... | Emerald Publishing

Table 3.

Zivot-Andrews test results: break in both intercept and trend

	TB	k	t	Inference
Variables at level
T	January 2017	2	−4.04	Unit root
IP	November 2016	2	−3.98	Unit root
EM	January 2016	2	−3.41	Unit root
CPI	November 2016	2	−4.008	Unit root
EPU	May 2017	2	−4.07	Unit root
EX	February 2016	2	−3.46	Unit root
GPR	November 2016	2	−0.43	Unit root
Variables in their first difference	TB	k	t	Inference
ΔT	February 2017	2	−7.07	I(1)
ΔIP	July 2016	2	−6.07	I(1)
ΔEM	May 2016	2	−7.50	I(1)
ΔCPI	March 2017	2	−7.81	I(1)
ΔEPU	March 2017	2	−7.12	I(1)
ΔEX	May 2016	2	−6.89	I(1)
ΔGPR	July 2017	2	−7.81	I(1)

	TB	k	t	Inference
Variables at level
T	January 2017	2	−4.04	Unit root
IP	November 2016	2	−3.98	Unit root
EM	January 2016	2	−3.41	Unit root
CPI	November 2016	2	−4.008	Unit root
EPU	May 2017	2	−4.07	Unit root
EX	February 2016	2	−3.46	Unit root
GPR	November 2016	2	−0.43	Unit root
Variables in their first difference	TB	k	t	Inference
ΔT	February 2017	2	−7.07	I(1)
ΔIP	July 2016	2	−6.07	I(1)
ΔEM	May 2016	2	−7.50	I(1)
ΔCPI	March 2017	2	−7.81	I(1)
ΔEPU	March 2017	2	−7.12	I(1)
ΔEX	May 2016	2	−6.89	I(1)
ΔGPR	July 2017	2	−7.81	I(1)

Notes:

Critical values: 1%: −5.34, 5%: −4.80, 10%: −4.58.

Source: Author