Table 7 Estimates of d for the pre- and post-crisis periods (logged series)
From: Price and volatility persistence of the US REITs market
Series | No terms | An intercept | A linear trend | |
|---|---|---|---|---|
White noise | ||||
Price index | Pre-crisis | 1.0254 | 1.0518 | 1.0494 |
(0.0138) | (0.0179) | (0.0182) | ||
Crisis | 0.8477 | 0.8499 | 0.8263 | |
(0.0413) | (0.0419) | (0.0446) | ||
Post-crisis | 0.9290 | 0.8660 | 0.8491 | |
(0.0109) | (0.0126) | (0.0135) | ||
Market index | Pre-crisis | 1.0240 | 1.0864 | 1.0817 |
(0.0080) | (0.0156) | (0.0160) | ||
Crisis | 0.8435 | 0.8456 | 0.8256 | |
(0.0418) | (0.0423) | (0.0447) | ||
Post-crisis | 0.9480 | 0.8764 | 0.8484 | |
(0.0098) | (0.0120) | (0.0135) | ||
Autocorrelation | ||||
Price index | Pre-crisis | 0.9743 | 0.0521 | 0.9481 |
(0.0181) | (0.0183) | (0.0313) | ||
Crisis | 0.9236 | 0.9344 | 0.9085 | |
(0.0600) | (0.0626) | (0.0683) | ||
Post-crisis | 0.9290 | 0.8660 | 0.9394 | |
(0.0109) | (0.0126) | (0.0216) | ||
Market index | Pre-crisis | 0.9974 | 1.0046 | 0.0913 |
(0.0093) | (0.0387) | (0.0172) | ||
Crisis | 0.9194 | 0.9288 | 0.9069 | |
(0.0613) | (0.0633) | (0.0684) | ||
Post-crisis | 1.0040 | 0.9632 | 0.9390 | |
(0.0107) | (0.0192) | (0.0216) | ||