Killing the Goose that Lays the Golden Egg: a time-Series Analysis of Institutional Change and Economic Growth in Hong Kong




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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
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