Table 4

Clemente–Montanes–Reyes unit root test with two structural breaks

Variablest statisticsTB1TB2Result
Innovation outlier (IO)
CCI−4.64September, 2003December, 2007 
ΔCCI−6.29December, 2006October, 2008I(1)
GU−4.60April, 2007April, 2008 
ΔGU−6.79February, 1997December, 2002I(1)
FS−6.65September, 1997November, 1999I(0)
ΔFS−2.18December, 1997December, 2000 
S−3.73September, 2007October, 2009 
ΔS−7.14December, 2007September, 2008I(1)
Additive outlier (AO)
CCI−4.24September, 2004September, 2008 
ΔCCI−6.48April, 2007October, 2008I(1)
GU−4.48January, 2000December, 2007 
ΔGU−6.07January, 2000November, 2008I(1)
FS−8.07August, 1997September, 1999I(0)
ΔFS−3.40April, 2007October, 2009 
S−3.40October, 1997November, 2007 
ΔS−8.34September, 1997November, 2000I(1)

Note(s): Clemente–Montanes–Reyes unit root test, critical value for (structural breaks), for AO and IO, respectively is −5.960 and −5.490 at 5% level of significance. * shows that the values are significant at (5) % level of significance. TB1 and TB2 shows the first and second breakpoint respectively. Δ shows the variables in their first difference

Source(s): Compilation Author

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