Table 4. Results from unit root test...

Table 4.

Results from unit root test with exogenous break

	Model A		Model B		Model C
Panel A: September 1992	ADF(λ)	p	ADF(λ)	p	ADF(λ)	p
Greece	−3.048	12	−3.081	12	−2.471	12
Ireland	−2.562	3	−3.438	3	−3.492	3
Italy	−2.049	11	−2.690	11	−2.843	11
Portugal	−1.835	10	−1.894	10	−1.670	10
Spain	−1.826	7	−3.563*	9	−4.139*	9
Panel B: January 1999
Greece	−2.316	12	−2.509	12	−2.206	12
Ireland	−2.979	3	−3.031	3	−2.975	3
Italy	−2.533	11	−2.484	11	−2.529	11
Portugal	−1.998	10	−2.136	10	−2.138	10
Spain	−2.985	9	−3.222	9	−3.243	9
Panel C: January 2009
Greece	−1.111	12	−2.161	12	−2.613	12
Ireland	−2.893*	3	−2.891*	3	−2.919	3
Italy	−1.393	11	−2.397	11	−2.327	11
Portugal	−1.466	10	−2.136	10	−2.145	10
Spain	−2.596*	9	−3.295*	9	−3.365	9

	Model A		Model B		Model C
Panel A: September 1992	ADF(λ)	p	ADF(λ)	p	ADF(λ)	p
Greece	−3.048	12	−3.081	12	−2.471	12
Ireland	−2.562	3	−3.438	3	−3.492	3
Italy	−2.049	11	−2.690	11	−2.843	11
Portugal	−1.835	10	−1.894	10	−1.670	10
Spain	−1.826	7	−3.563*	9	−4.139*	9
Panel B: January 1999
Greece	−2.316	12	−2.509	12	−2.206	12
Ireland	−2.979	3	−3.031	3	−2.975	3
Italy	−2.533	11	−2.484	11	−2.529	11
Portugal	−1.998	10	−2.136	10	−2.138	10
Spain	−2.985	9	−3.222	9	−3.243	9
Panel C: January 2009
Greece	−1.111	12	−2.161	12	−2.613	12
Ireland	−2.893*	3	−2.891*	3	−2.919	3
Italy	−1.393	11	−2.397	11	−2.327	11
Portugal	−1.466	10	−2.136	10	−2.145	10
Spain	−2.596*	9	−3.295*	9	−3.365	9

Notes:

The optimal lag(s), p, were determined by the t-stat significance of the last lagged dependent variable at the 10% significance level by setting the maximum number of lags to 12. λ is breakpoint (λ=T_B/T) λ is 0.4 for September 1992, 0.6 for January 1999, and 0.8 for January 2009 that corresponding critical values are available in Perron (1990). *** (1%), ** (5%) and * (10%)

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