Revisiting the nexus between fiscal decentralization and CO2 emissions in South Africa: fresh policy insights

Financial Innovation

Table 10 Gregory-Hansen test of cointegration with regime shifts: model: change in level

Test	Statistic	Breakpoint	Date	1%	5%	10%
ADF	− 5.40***	40	1994	− 5.01	− 4.51	− 4.30
Zt	− 3.80	37	1996	− 6.19	− 5.39	− 5.30
Za	− 20.95	37	1996	− 53.16	− 25.49	− 22.62
Gregory-Hansen test of cointegration with regime shifts: model: change in level and trend
ADF	− 5.71**	30	1994	− 5.85	− 5.19	− 4.98
Zt	− 5.05	48	2009	− 5.78	− 5.29	− 5.21
Za	− 25.27	48	2009	− 58.66	− 30.33	− 27.78
Gregory-Hansen test of cointegration with regime shifts: model: change in regime
ADF	− 5.74**	37	1994	− 6.25	− 5.26	− 5.08
Zt	− 4.75	35	1993	− 6.14	− 5.48	− 5.30
Za	− 36.41	35	1993	− 50.82	− 47.50	− 39.51
Gregory-Hansen test of cointegration with regime shifts: model: change in regime and trend
ADF	− 5.68*	37	1994	− 6.30	− 5.85	− 5.42
Zt	− 5.34	35	1993	− 6.30	− 5.75	− 5.47
Za	− 30.58	35	1993	− 58.29	− 45.19	− 40.44

*, ** and *** denote statistical significance at 10%, 5% and 1% levels respectively
Source Authors’ calculations