Financial Innovation

Table 4 Lee-Strazicich Unit Root Test with Structural Breaks

From: Is pass-through of the exchange rate to restaurant and hotel prices asymmetric in the US? Role of monetary policy uncertainty

Variables	L-S test at level		L-S test at 1st difference
Variables	Statistics	Break date	Statistics	Break date
lnRHP_t	− 1.2469 (8)	2008:M08	− 10.1733 (8)***	2008:M12
lnNEER_t	− 1.3172 (7)	2011:M09	− 4.5545 (6)***	2003:M06
lnMP_t	− 5.3224 (1)***	2014:M03	− 5.6637 (3)***	2009:M02
lnEPR_t	− 1.9019 (2)	2004:M09	− 9.9523 (0)**	2004:M03
Critical values
1 Percent	− 4.0497		− 4.0491
5 Percent	− 3.4517		− 3.4510
10 Percent	− 3.1465		− 3.1458

^** and ***denote 1% and 5% significance levels. The lag length is given in the bracket (). The null hypothesis is that the series has a unit root with a break

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