Panel A: unit root tests with no structural break

Test statistic

ADF (constant)

−10.59^*

ADF (constant, trend)

−10.61^*

Phillip-Perron (constant)

−12.36^*

Phillip-Perron (constant, trend)

−12.38^*

Panel B: Zivot-Andrews test with one structural break

Test statistic

Break date

ZA test

9.98 (0.00)

1977:07

Panel C: Clemente-Montanes-Reyes unit-root with two structural breaks

Test statistic

Break dates

du 1

2.89 (0.05)

1977:06

du 2

−3.23 (0.05)

1982:05