| Exogenous variables | Long-run effect [+] | Log-run effects [−] | ||
|---|---|---|---|---|
| Coef. | F-stat | Coef. | F-stats | |
| Asymmetry statistics | ||||
| Log income per capita | 0.786*** | 14.20 | −2.675*** | 9.07 |
| Log building completed | 0.453*** | 8.412 | −0.256*** | 7.85 |
| Log building plans passed | −0.024 | 0.022 | −0.577*** | 10.61 |
| Mortgage rate | −0.011** | 4.589 | 0.007** | 4.19 |
| Log volume of production | 1.823*** | 8.847 | 0.092 | 0.03 |
| Long-run asymmetry | Short-run asymmetry | |||
| Wald test | Wald test | |||
| Log income per capita | 6.676** | 0.314 | ||
| Log building completed | 1.209 | 3.820* | ||
| Log building plans passed | 4.628** | 0.834 | ||
| Mortgage rate | 1.244 | 6.302** | ||
| Log volume of production | 6.504** | 0.429 | ||
| Cointegration test statistics: t_BDM = -4.4752; F_PSS = 6.6484 | ||||
| Model diagnostics | Statistics | |||
| Portmanteau test up to lag 40 (Chi2) | 40.5(0.45) | |||
| Breusch/Pagan heteroskedasticity test (Chi2) | 1.92(0.17) | |||
| Ramsey RESET test (F) | 0.09(0.97) | |||
| Jarque–Bera test on normality (Chi2) | 1.09(0.58) | |||
| Exogenous variables | Long-run effect [+] | Log-run effects [−] | ||
|---|---|---|---|---|
| Coef. | F-stat | Coef. | F-stats | |
| Log income per capita | 0.786*** | 14.20 | −2.675*** | 9.07 |
| Log building completed | 0.453*** | 8.412 | −0.256*** | 7.85 |
| Log building plans passed | −0.024 | 0.022 | −0.577*** | 10.61 |
| Mortgage rate | −0.011** | 4.589 | 0.007** | 4.19 |
| Log volume of production | 1.823*** | 8.847 | 0.092 | 0.03 |
| Long-run asymmetry | Short-run asymmetry | |||
| Wald test | Wald test | |||
| Log income per capita | 6.676** | 0.314 | ||
| Log building completed | 1.209 | 3.820* | ||
| Log building plans passed | 4.628** | 0.834 | ||
| Mortgage rate | 1.244 | 6.302** | ||
| Log volume of production | 6.504** | 0.429 | ||
| Model diagnostics | Statistics | |||
| Portmanteau test up to lag 40 (Chi2) | 40.5(0.45) | |||
| Breusch/Pagan heteroskedasticity test (Chi2) | 1.92(0.17) | |||
| Ramsey RESET test (F) | 0.09(0.97) | |||
| Jarque–Bera test on normality (Chi2) | 1.09(0.58) | |||
Notes:
Long-run effect [−] refers to a permanent change in exogenous variables by −1 and *, ** and *** denote 10, 5 and 1%, respectively