Table 5. Results from unit root test...

Table 5.

Results from unit root test with endogenous break

	Model A			Model B			Model C
Country	ADF(λ_inf)	p	T_B	ADF(λ_inf)	p	T_B	ADF(λ_inf)	p	T_B
Greece	−3.316	12	1990M04	−3.280	12	1994M01	−3.204	12	2002M04
Ireland	−3.360	3	1982M06	−4.035	3	1992M08	−4.077	3	1992M08
Italy	−3.238	11	2001M06	−3.132	11	2014M03	−3.821	9	2005M12
Portugal	−3.352	10	1989M10	−4.459	10	1977M02	−4.400	10	1977M02
Spain	−3.704	9	1985M10	−3.968	9	1992M08	−4.493	9	1992M08

	Model A			Model B			Model C
Country	ADF(λ_inf)	p	T_B	ADF(λ_inf)	p	T_B	ADF(λ_inf)	p	T_B
Greece	−3.316	12	1990M04	−3.280	12	1994M01	−3.204	12	2002M04
Ireland	−3.360	3	1982M06	−4.035	3	1992M08	−4.077	3	1992M08
Italy	−3.238	11	2001M06	−3.132	11	2014M03	−3.821	9	2005M12
Portugal	−3.352	10	1989M10	−4.459	10	1977M02	−4.400	10	1977M02
Spain	−3.704	9	1985M10	−3.968	9	1992M08	−4.493	9	1992M08

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. The break date, T_B, is endogenously determined. The critical values are −4.94 (1%), −4.44 (5%) and −4.19 (10%) for Model A; −5.34 (1%), −4.85 (5%), and −4.60 (10%) for Model B; −5.71 (1%), −5.17 (5%) and −4.89 (10%) for Model C. *** (1%), ** (5%) and * (10%)

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