Skip to main content

Table 3 Unit root tests and time break estimation

From: Contagion effect of migration fear in pre and European refugee’s crisis period: evidence from multivariate GARCH and wavelet empirical analysis

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

  1. **Indicates the 5% significance level, and I(1) indicates that series is non-stationary and one order integrated