Table 2 The result of unit root test...

Table 2

The result of unit root test

Variables	ADF test		ADF with breakpoint structure test
Variables	Level	1st difference	Level	Break date	1st difference	Break date
$\ln M 2_{r}$	−2.236	−8.885^*1	−5.178^*5	2006m12	−5.288^*5	2007m6
$\ln G_{s}$	−0.974	−8.602^*1	−3.645	2013m1	−10.928^*1	2006m6
$\ln Y_{p}$	−2.003	−14.343^*1	−5.57	2012m2	−14.746^*1	2012m2
$R E E R_{s}$	−2.391	−9.273^*1	−3.735	2010m7	−9.907^*1	2008m12
$r_{s}$	−0.0281	−7.704^*1	−2.791	2007m11	−8.990^*1	2009m2
$π_{s}$	−1.706	−4.947^*1	−3.650	2010m11	−6.619^*1	2010m9

Variables	ADF test		ADF with breakpoint structure test
Variables	Level	1st difference	Level	Break date	1st difference	Break date
$\ln M 2_{r}$	−2.236	−8.885^*1	−5.178^*5	2006m12	−5.288^*5	2007m6
$\ln G_{s}$	−0.974	−8.602^*1	−3.645	2013m1	−10.928^*1	2006m6
$\ln Y_{p}$	−2.003	−14.343^*1	−5.57	2012m2	−14.746^*1	2012m2
$R E E R_{s}$	−2.391	−9.273^*1	−3.735	2010m7	−9.907^*1	2008m12
$r_{s}$	−0.0281	−7.704^*1	−2.791	2007m11	−8.990^*1	2009m2
$π_{s}$	−1.706	−4.947^*1	−3.650	2010m11	−6.619^*1	2010m9

Note(s): (*¹), (*⁵), (*¹⁰) denote the significance at the 1%, 5%, and 10% levels of Z_t value; 1% = −4.025 (*¹), 5% = −3.445 (*⁵), 10% = −3.145 (*¹⁰) (ADF test); 1% = −5.57 (*¹), 5% = −5.08 (*⁵), 10% = −4.82 (*¹⁰) (ADF test with breakpoint structure)

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