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The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 5 Unit-root tests with structural break

From: The dynamics of fiscal policy in Algeria: sustainability and structural change

 

One structural break

Deterministic components

Lags

Statistic

Break date TB

Zivot and Andrews (1992)

Model C

4

− 3.86258

1998 Q3

Lee and Strazicich (2003a)

Model C

7

− 3.87873

1976Q4

Saikkonen and Lütkepohl (2002)

Shift dummy \(f_{\text{t}}^{\left( 1 \right)}\)

Exponential shift \(f_{\text{t}}^{\left( 2 \right)}\)

2

− 1.0536

1974Q1

Rational shift \(f_{\text{t}}^{\left( 3 \right)}\)

Model C

2

− 1.0508

1974Q1

Model C

2

− 1.1562

1974Q1

 

Two structural breaks

Deterministic components

Lags

Statistic

Break date I (TB1)

Break date II (TB2)

Lumsdaine and Papell (1997)

Model CC

2

− 4.5993

1994 Q4

2008Q2

Lee and Strazicich (2003b)

Model C

7

− 4.81793

1976Q4

1977Q2

  1. Zivot and Andrews (1992): Critical values are: − 5.57, − 5.08 and − 4.82 at 1%, 5% and 10% respectively
  2. Saikkonen and Lütkepohl (2002): Critical values (T = 1000) are: − 3.48, − 2.88, and − 2.58 at 1%, 5% and 10% respectively
  3. Lumsdaine and Papell (1997): Critical values are: − 7.34, − 6.82 and − 6.49 at 1%, 5% and 10% respectively
  4. Lee and Strazicich (2003a): Critical values: − 5.11, − 4.51 and − 4.17 at 1%, 5% and 10% respectively
  5. Lee and Strazicich (2003b): Critical values: − 6.33, − 5.71 and − 5.33 at 1%, 5% and 10% respectively
  6. See Additional file 2