From: Price and volatility persistence of the US REITs market
Variables | Unit root without structural breaks | Unit root with structural breaks | ||||||
---|---|---|---|---|---|---|---|---|
 | ADF | PP | Perron–Vogelsang | |||||
 |  | I(0) | I(1) | I(0) | I(1) | Coeff | t-test | Break date |
Logged Series | Price  index | −2.567 | −86.385*** | −2.486 | −86.634*** | 0.992 | −4.731 | 5/19/08 |
 | Market  index | −2.703 | −91.230*** | −2.630 | −92.149*** | 0.994 | −4.163 | 5/15/08 |
Squared Returns | Price  index | −4.913*** | ––––– | −103.759*** | ––––– | 0.835*** | −9.722 | 12/1/08 |
 | Market  index | −4.803*** | ––––– | −112.095*** | ––––– | 0.862*** | −9.680 | 12/1/08 |