Augmented Dickey–Fuller and Phillip–Perron unit root test
| Variables | Deterministic terms | Augmented Dicky–Fuller | Phillips–Perron | Order of integration |
|---|---|---|---|---|
| Levels | Intercept | Z(t) | Z(t) | |
| Mortgage rate | Intercept | −1.66(0.45) | −1.61(0.47) | I(1) |
| CPI | Intercept | −2.91 (0.03)** | −3.06 (0.03)** | I(0) |
| LogBPP | Intercept | −1.48(0.54) | −1.46(0.55) | I(1) |
| logDYPK | Intercept and trend | −2.83(0.19) | −1.62(0.78) | I(1) |
| logBPP | Intercept | −2.22(0.48) | −2.53(0.31) | I(1) |
| LogEC | Intercept | −0.97(0.76) | −0.90(0.79) | I(1) |
| LogHouse prices | Intercept | −0.87(0.80) | −2.21(0.20) | I(1) |
| First difference | ||||
| ΔMortgage rate | Intercept | −4.97(0.00)*** | −6.45(0.00)*** | I(0) |
| ΔLog BPP | Intercept | −5.44(0.00)*** | −13.36(0.00)*** | I(0) |
| ΔLogDYPK | Intercept | −5.04(0.00)*** | −13.64(0.00)*** | I(0) |
| ΔLogBPP | Intercept | −5.44(0.00)*** | −13.40(0.00)*** | I(0) |
| ΔLogEC | Intercept | −5.54(0.00)*** | −10.04(0.00)*** | I(0) |
| ΔLogHouse price | Intercept | −5.58(0.00)*** | −7.82(0.00)*** | I(0) |
| Variables | Deterministic terms | Augmented | Phillips–Perron | Order of integration |
|---|---|---|---|---|
| Levels | Intercept | |||
| Mortgage rate | Intercept | −1.66(0.45) | −1.61(0.47) | I(1) |
| CPI | Intercept | −2.91 (0.03)** | −3.06 (0.03)** | I(0) |
| LogBPP | Intercept | −1.48(0.54) | −1.46(0.55) | I(1) |
| logDYPK | Intercept and trend | −2.83(0.19) | −1.62(0.78) | I(1) |
| logBPP | Intercept | −2.22(0.48) | −2.53(0.31) | I(1) |
| LogEC | Intercept | −0.97(0.76) | −0.90(0.79) | I(1) |
| LogHouse prices | Intercept | −0.87(0.80) | −2.21(0.20) | I(1) |
| ΔMortgage rate | Intercept | −4.97(0.00)*** | −6.45(0.00)*** | I(0) |
| ΔLog BPP | Intercept | −5.44(0.00)*** | −13.36(0.00)*** | I(0) |
| ΔLogDYPK | Intercept | −5.04(0.00)*** | −13.64(0.00)*** | I(0) |
| ΔLogBPP | Intercept | −5.44(0.00)*** | −13.40(0.00)*** | I(0) |
| ΔLogEC | Intercept | −5.54(0.00)*** | −10.04(0.00)*** | I(0) |
| ΔLogHouse price | Intercept | −5.58(0.00)*** | −7.82(0.00)*** | I(0) |
Note: All unit root are testing using three lags