Response speeds of direct and securitized real estate to shocks in the fundamentals



APPENDIX

Table A1 Augmented Dickey-Fuller test results 1994Q1-2009Q4

Variable

Level (lags)

Difference (lags)

apt_tbi

-1.70 (2)c,s

-3.38** (1)s

apt_reit

-1.49 (1)Pc

-5.09** (0)

ind_tbi

-1.87 (3)Pc,sP

-2.22* (2)s

ind_reit

-1.59 (1)c

-5.62** (0)

of_tbi

-1.87 (2)PcP

-1.99* (1)

of_reit

-2.11 (1)c

-5.18** (0)

re_tbi

-1.17 (3)PcP

-2.25* (2)

re_reit

-1.32 (1)c

-5.37** (0)

Nominal interest rate

-1.53 (4)P

-3.61** (3)P

Real interest rate

-1.55 (6)

-5.31** (6)

Inflation rate

-2.52 (6)s

GDP

-1.88 (1)Pc,sP

-2.35* (2)

Sentiment

-0.32 (0)

-9.35** (0)

Risk premium

-.070 (1)

-6.13** (0)

* and ** denote for statistical significance at the 5% and 1% level, respectively. Critical values at the 5% and 1%
significance levels are -1.95 and -2.60 if constant is not included and -2.89 and -3.51 in the case where constant
is present. The number of lags included in the ADF tests is decided based on the general-to-specific method. A
constant term (c) is included in the tested model if the series clearly seem to be trending or if the ADF test
without the constant term suggests that the series are exploding. In addition, three seasonal dummies (s) are
added to the test if recommended by the F-test.

30



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