Table II. ADF test for (log) average...

Table II.

ADF test for (log) average real house prices and control variables

Series	Levels		First-difference
Series	Test-statistics	P-value	Test-statistics	P-value
AM	0.88 (0)	0.90	−4.55 (1)	0.00***
GR	0.15 (5)	0.72	−2.13 (4)	0.03**
FR	0.15 (4)	0.73	−2.77 (3)	0.01***
DR	0.64 (0)	0.85	−2.86 (3)	0.00***
OV	0.71 (0)	0.87	−8.55 (0)	0.00***
FL	0.23 (2)	0.75	−5.29 (1)	0.00***
GE	0.12 (0)	0.72	−7.78 (0)	0.00***
UT	0.37 (0)	0.79	−9.81 (0)	0.00***
ZH	0.31 (4)	0.77	−2.88 (3)	0.00***
ZL	0.28 (5)	0.76	−1.87 (5)	0.06*
NB	−0.12 (4)	0.64	−2.69 (3)	0.01***
LI	−0.09 (3)	0.65	−3.87 (2)	0.00***
r	−1.57 (0)	0.11	−6.86 (0)	0.00***
gdp	2.09 (1)	0.99	−4.58 (0)	0.00***

Series	Levels		First-difference
Series	Test-statistics	P-value	Test-statistics	P-value
AM	0.88 (0)	0.90	−4.55 (1)	0.00***
GR	0.15 (5)	0.72	−2.13 (4)	0.03**
FR	0.15 (4)	0.73	−2.77 (3)	0.01***
DR	0.64 (0)	0.85	−2.86 (3)	0.00***
OV	0.71 (0)	0.87	−8.55 (0)	0.00***
FL	0.23 (2)	0.75	−5.29 (1)	0.00***
GE	0.12 (0)	0.72	−7.78 (0)	0.00***
UT	0.37 (0)	0.79	−9.81 (0)	0.00***
ZH	0.31 (4)	0.77	−2.88 (3)	0.00***
ZL	0.28 (5)	0.76	−1.87 (5)	0.06*
NB	−0.12 (4)	0.64	−2.69 (3)	0.01***
LI	−0.09 (3)	0.65	−3.87 (2)	0.00***
r	−1.57 (0)	0.11	−6.86 (0)	0.00***
gdp	2.09 (1)	0.99	−4.58 (0)	0.00***

Notes:

Real interest rate is denoted by r. ADF test regression is estimated separately for each time series without deterministic trend and intercept. The optimal lag, indicated in parenthesis, is estimated using BIC;

∗, ∗∗ and ∗∗∗ denote statistical significance at the 10, 5 and 1%, respectively

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