Table 3. Results of the Gregory-Hansen Test for 18/03/1996-20/01/2004
|
_____________________________________Model C________ |
_______Model C/T_______ |
_______Model C/S_______ | ||||
|
SPDR - iShares__________________ |
ADF |
Break Date |
ADF |
Break Date |
ADF |
Break Date |
|
USA - Canada |
-2.50 |
16.12.1997 |
-3.89 |
27.07.1998 |
-3.22 |
29.04.1998 |
|
USA - France |
-3.62 |
13.08.1997 |
-3.90 |
13.08.1997 |
-3.81 |
23.06.1997 |
|
USA - Germany |
-4.33 |
29.12.1998 |
-4.20 |
29.12.1998 |
-2.99 |
27.07.1998 |
|
USA - Italy |
-3.03 |
29.12.1998 |
-4.42 |
21.05.1999 |
-2.99 |
29.12.1998 |
|
USA - Japan |
-4.08 |
17.10.1997 |
-4.04 |
17.10.1997 |
-3.58 |
17.10.1997 |
|
USA - United Kingdom |
-4.06 |
22.09.1999 |
-4.29 |
22.09.1999 |
-2.70 |
27.07.1998 |
|
USA - France, Germany, Italy, UK |
-5.67** |
13.08.1997 |
-6.30** |
04.08.1997 |
-6.49** |
31.12.1999 |
|
United Kingdom - France |
-3.97 |
01.11.1999 |
-4.31 |
01.11.1999 |
-2.41 |
30.08.2000 |
|
United Kingdom - Germany |
-3.29 |
30.11.1999 |
-4.36 |
30.11.1999 |
-2.39 |
19.10.2000 |
|
United Kingdom - Italy |
-3.62 |
22.07.2002 |
-3.92 |
11.03.1999 |
-3.27 |
10.04.1998 |
|
United Kingdom - Canada |
-2.52 |
01.03.2000 |
-3.18 |
22.10.1997 |
-2.40 |
30.03.2001 |
|
United Kingdom - Japan |
-2.64 |
18.08.1997 |
-3.23 |
18.08.1997 |
-2.34 |
02.03.2001 |
|
France - Germany |
-4.34* |
12.07.2000 |
-4.17 |
01.05.2000 |
-3.24 |
16.06.1998 |
|
France - Italy |
-2.93 |
12.07.1999 |
-5.03 |
09.08.1999 |
-2.93 |
22.03.1999 |
|
France - Canada |
-3.56 |
21.04.1998 |
-5.38** |
22.05.1998 |
-5.28** |
15.04.1998 |
|
France - Japan |
-4.13 |
14.01.1998 |
-4.13 |
15.01.1998 |
-4.23 |
02.06.1998 |
|
Germany - Italy |
-3.18 |
14.08.2002 |
-4.43 |
16.09.1999 |
-3.36 |
30.03.1998 |
|
Germany - Canada |
-2.39 |
14.08.2002 |
-4.25 |
20.04.1998 |
-2.39 |
15.10.1997 |
|
Germany - Japan |
-3.05 |
18.08.1997 |
-3.71 |
22.10.1997 |
-2.74 |
08.08.1997 |
|
Italy - Canada |
-2.49 |
01.10.1997 |
-3.51 |
16.02.1998 |
-2.41 |
01.10.1997 |
|
Italy - Japan |
-2.92 |
24.10.1997 |
-3.60 |
02.04.2001 |
-2.47 |
01.08.1997 |
|
Canada - Japan |
-2.90 |
23.09.2003 |
-3.67 |
19.01.2001 |
-3.65 |
27.12.1999 |
|
Germany - UK, France, Italy |
-4.55 |
12/07/2000 |
-4.48 |
12/07/2000 |
-5.36 |
12/07/2000 |
|
Germany - France, Italy |
-4.57 |
12.07.2000 |
-4.52 |
12.07.2000 |
-5.37* |
12.07.2000 |
Notes. Model specifications for the bivariate cointegration relationship: C - level shift (change in constant);
C/T - level shift with trend (model with a linear trend and change in constant only); C/S - regime shift (model
with change in both constant and slope). Critical values are taken from Gregory and Hansen (1996). ***, **, *
- denotes significance at the 1, 5 and 10 % levels respectively.
29