VARIABLE

AUGMENTED DICKEY-FULLER

ZIVOT-ANDREW

LEVELS

1ST DIFF.

LEVELS

1ST DIFF.

STRUCTURAL BREAK

ROA

−8.791***

−12.17***

2012Q3

ROE

−6.296***

−7.38***

2018Q2

TA

−8.23***

−8.49***

GBY

−1.479

−5.135***

−3.05

−5.17***

2010Q1

RGDP

−9.978***

−7.673***

2018Q2

IR

−0.686

−4.323***

−3.457

−4.404*

2010Q1

JSEM

−6.873***

−7.871***

2015Q4

UR

−4.144***

−4.45**

2011Q3