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Table 3 Estimates of d for the fully sampled logged series

From: Price and volatility persistence of the US REITs market

Series

No terms

An intercept

A linear trend

White noise

Price  index

0.9056

0.8882

0.8847

(0.0088)

(0.0094)

(0.0096)

Market  index

0.9493

0.9046

0.8929

(0.0067)

(0.1245)

(0.0091)

Autocorrelation

Price index

0.9706

0.9607

−0.1140

(0.0122)

(0.0147)

(0.0097)

 Market index

0.9906

0.9746

−0.1058

(0.0076)

(0.0134)

(0.0092)

  1. Significant values based on the deterministic terms are in bold, while the values in parentheses are the standard errors