Determinants of non-performing loans in North Macedonia

https://doi.org/10.1080/23311975.2022.2140488
Page 24 of 40

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Table and Figure 5.4. Zivot-Andrews Unit Root Test on LGDP
Zivot-Andrews Unit Root Test
Date: 08/30/22 Time: 12:08
Sample: 2005Q1 2022Q2
Included observations: 70
Null Hypothesis: LGDP has a unit root with a structural break in both the intercept and trend
Chosen lag length: 4 (maximum lags: 4)
Chosen break point: 2015Q3
t-Statistic
Prob. *
Zivot-Andrews test statistic
−3.277821
0.049959
1% critical value:
−5.57
5% critical value:
−5.08
10% critical value:
−4.82
* Probability values are calculated from a standard t-distribution and do not take into account the breakpoint 
selection process 
-3.3
-3.2
-3.1
-3.0
-2.9
-2.8
-2.7
-2.6
2006
2008
2010
2012
2014
2016
2018
2020
2022
Zivot-Andrew Breakpoints
Golitsis et al., Cogent Business & Management (2022), 9: 2140488
https://doi.org/10.1080/23311975.2022.2140488
Page 25 of 40

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Table and Figure 5.5. Zivot-Andrews unit root test on LGross_Loans
Zivot-Andrews Unit Root Test
Date: 08/30/22 Time: 12:08
Sample: 2005Q1 2022Q2
Included observations: 70
Null Hypothesis: LGROSS_LOANS has a unit root with a structural break in the intercept
Chosen lag length: 2 (maximum lags: 4)
Chosen break point: 2016Q1
t-Statistic
Prob. *
Zivot-Andrews test statistic
−4.295073
0.000174
1% critical value:
−5.34
5% critical value:
−4.93
10% critical value:
−4.58
* Probability values are calculated from a standard t-distribution and do not take into account the breakpoint 
selection process 
-5
-4
-3
-2
-1
0
1
2006
2008
2010
2012
2014
2016
2018
2020
2022
Zivot-Andrew Breakpoints
Golitsis et al., Cogent Business & Management (2022), 9: 2140488