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Table 2 Unit root tests results

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

  1. ***represents significance at 1% critical level