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Future Business Journal

Table 5 Semiparametric estimates of d for the fully sampled logged series

From: Price and volatility persistence of the US REITs market

w

T0.4

T0.45

T0.5

T0.55

T0.6

T0.65

T0.7

T0.75

T0.76

T0.79

Price index

1.0076

1.0056

1.0120

1.0140

1.0037

1.0600

1.0366

1.1059

1.0831

1.1836

Market index

1.0092

1.0072

1.0161

1.0218

1.0157

1.0156

1.0455

1.1722

1.1722

0.9876

  1. w and T are the bandwidth number and the total number of observations, respectively. Values in bold are those cases where the d estimates are not significantly different from 1
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