Variable | Bai–Perron LR test (l + 1 versus l) breaks) | Zivot–Andrews t-statistics (1 break) | Accepted hypothesis | ||||
---|---|---|---|---|---|---|---|
l versus l + 1 | Estimated break date | Statistics | Estimated break date | Statistics (p value) | |||
FR-Fear | 0 versus 1 | 2013 Q3 | 12.026** | 1 Break | 2013 Q2 | − 4.1408 (0.1124) | I(1) |
1 versus 2 | 3.594 | ||||||
GER-Fear | 0 versus 1 | 2013 Q3 | 9.358** | 1 Break | 2013 Q3 | − 4.4490 (0.05201) | I(1) |
1 versus 2 | 1.112 | ||||||
UK-Fear | 0 versus 1 | 2013 Q4 | 6.715** | 1 Break | 2013 Q3 | − 3.6936 (0.2858) | I(1) |
1 versus 2 | 5.937 | ||||||
USA_Fear | 0 versus 1 | 2015Q4 | 33.513** | 1 Break | 2015 Q3 | − 4.4023 (0.0542) | I(1) |
1 versus 2 | 1.883 |