Table 2 shows the results of the Zivot and Andrews test. In Panel A, test statistics at various lags for a break in mean and a break in mean and trend are larger in magnitude than their respective critical values. Thus, the results clearly show that the rule of law series is trend-stationary after allowing for a one-time change in the level of the series, as well as in the level and the slope of the trend function of the series. The break point identified by the test is the fourth quarter of 1993. For the democratic accountability series in Panel B, only the test statistics at the fourth lag for a break in mean and a break in mean and trend are larger in magnitude than their respective critical values. Thus, there is some evidence that the democratic accountability series is trend-stationary after allowing for a one-time change in the level of the series, as well as in the level and the slope of the trend function of the series. However, such a conclusion is sensitive to the number of lags that are included in the test. The break point is estimated to be the third quarter of 1997, which coincides with the reversion of Hong Kong’s sovereignty to China. Table 2: Zivot and Andrews (1992) Test for Rule of Law and Democratic Accountability Lag | Break in mean | Break in trend | Break in mean and trend |
| Statistic | Break | Statistic | Break | Statistic | Break | Panel A: Rule of Law | 1 | -5.372 | 1993:4 | -3.567 | 1993:3 | -5.249 | 1993:4 | 2 | -5.356 | 1993:4 | -3.677 | 1993:3 | -5.195 | 1993:4 | 3 | -5.398 | 1993:4 | -3.877 | 1993:3 | -5.210 | 1993:4 | 4 | -5.425 | 1993:4 | -4.274 | 1993:3 | -5.218 | 1993:4 | 5 | -5.596 | 1993:4 | -4.287 | 1993:3 | -5.372 | 1993:4 | 6 | -5.777 | 1993:4 | -4.581 | 1993:3 | -5.577 | 1993:4 | Panel B: Democratic Accountability | 1 | -3.983 | 1997:3 | -3.391 | 1997:3 | -4.507 | 1997:3 | 2 | -4.150 | 1997:3 | -3.546 | 1997:3 | -4.639 | 1997:3 | 3 | -4.447 | 1997:3 | -3.822 | 1997:3 | -4.911 | 1997:3 | 4 | -4.862 | 1997:3 | -4.192 | 1997:3 | -5.325 | 1997:3 | 5 | -4.553 | 1997:3 | -3.998 | 1997:3 | -4.825 | 1997:3 | 6 | -4.286 | 1997:3 | -3.772 | 1997:3 | -4.389 | 1997:3 | 5% C.V. | -4.80 | -4.42 | -5.08 | |