Structural breaks using Zivot and Andrews test (1992)
| Variables at level | Break date | t(ADF) | p-value | Variables at first difference | Break date | t(ADF) | p-value |
|---|---|---|---|---|---|---|---|
| LGC(9) | 1981 | −4.224751 | 0.2448 | DLGC(0) | 1964 | −12.01246*** | <0.01 |
| LGDP(2) | 1979 | −4.659291* | 0.0860 | DLGDP(2) | 1974 | −5.769906*** | <0.01 |
| LP(4) | 1977 | −2.120078 | >0.99 | DLP(10) | 2006 | −5.184592** | 0.0185 |
| LGCGDP(9) | 1975 | −5.647702*** | <0.01 | DLGCGDP(0) | 1975 | −9.864715*** | <0.01 |
| LGDPP(2) | 1979 | −4.715145 | 0.0742 | DLGDPP(2) | 1974 | −5.625216*** | <0.01 |
| LGCP(9) | 1981 | −4.372095 | 0.1782 | DLGCP(0) | 1964 | −12.01729*** | <0.01 |
| Variables at level | Break date | Variables at first difference | Break date | ||||
|---|---|---|---|---|---|---|---|
| 1981 | −4.224751 | 0.2448 | 1964 | −12.01246 | <0.01 | ||
| 1979 | −4.659291 | 0.0860 | 1974 | −5.769906 | <0.01 | ||
| 1977 | −2.120078 | >0.99 | 2006 | −5.184592 | 0.0185 | ||
| 1975 | −5.647702 | <0.01 | 1975 | −9.864715 | <0.01 | ||
| 1979 | −4.715145 | 0.0742 | 1974 | −5.625216 | <0.01 | ||
| 1981 | −4.372095 | 0.1782 | 1964 | −12.01729 | <0.01 |
Notes:
***Indicates rejection of the null hypothesis of the variables having a unit root at a level of significance of 1%,
**at a 5% level of significance and
*at 10% level of significance
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