Table I. Results of augmented...

Table I.

Results of augmented Dickey–Fuller test statistic for the presence of unit root

	Level				First difference
	Constant		Constant + Trend		Constant		Constant + Trend
Variables	t-Statistics	Prob.*	t-Statistics	Prob.*	t-Statistics	Prob.*	t-Statistics	Prob.*	Order of integration
RHP	−0.12	0.94	−3.11	0.11	−3.49	0.01	−3.57	0.04	I(1)**
RDISP	0.88	0.99	−1.95	0.62	−3.33	0.02	−6.52	0.00	I(1)*
RGDPCAP	−0.53	0.88	−2.09	0.55	−5.08	0.00	−5.06	0.00	I(1)*
ATMR	−2.72	0.07	−2.88	0.17	−7.47	0.00	−7.45	0.00	I(1)*
UNEMPLOYMENT	−3.18	0.02	−2.93	0.16	−2.46	0.13	−2.67	0.25	I(0)
STOCKS	−2.30	0.17	−2.23	0.47	−3.08	0.03	−3.11	0.11	I(1)**
POULATION	0.72	0.99	−2.48	0.34	−2.13	0.23	−2.13	0.52	I(2)
REER	−1.33	0.61	−3.26	0.08	−7.96	0.00	−7.94	0.00	I(1)*
RCC	0.10	0.96	−1.75	0.72	−4.84	0.00	−4.90	0.00	I(1)*
RHD	1.13	1.00	−0.93	0.95	−8.81	0.00	−8.90	0.00	I(1)*
RENT	−3.24	0.02	−2.88	0.17	−2.59	0.10	−3.31	0.07	I(1)*
Critical values
0.01	−3.49		−4.04		−3.49		−4.04
0.05	−2.89		−3.45		−2.89		−3.45
0.10	−2.58		−3.15		−2.58		−3.15

	Level				First difference
	Constant		Constant + Trend		Constant		Constant + Trend
Variables	t-Statistics	Prob.*	t-Statistics	Prob.*	t-Statistics	Prob.*	t-Statistics	Prob.*	Order of integration
RHP	−0.12	0.94	−3.11	0.11	−3.49	0.01	−3.57	0.04	I(1)**
RDISP	0.88	0.99	−1.95	0.62	−3.33	0.02	−6.52	0.00	I(1)*
RGDPCAP	−0.53	0.88	−2.09	0.55	−5.08	0.00	−5.06	0.00	I(1)*
ATMR	−2.72	0.07	−2.88	0.17	−7.47	0.00	−7.45	0.00	I(1)*
UNEMPLOYMENT	−3.18	0.02	−2.93	0.16	−2.46	0.13	−2.67	0.25	I(0)
STOCKS	−2.30	0.17	−2.23	0.47	−3.08	0.03	−3.11	0.11	I(1)**
POULATION	0.72	0.99	−2.48	0.34	−2.13	0.23	−2.13	0.52	I(2)
REER	−1.33	0.61	−3.26	0.08	−7.96	0.00	−7.94	0.00	I(1)*
RCC	0.10	0.96	−1.75	0.72	−4.84	0.00	−4.90	0.00	I(1)*
RHD	1.13	1.00	−0.93	0.95	−8.81	0.00	−8.90	0.00	I(1)*
RENT	−3.24	0.02	−2.88	0.17	−2.59	0.10	−3.31	0.07	I(1)*
Critical values
0.01	−3.49		−4.04		−3.49		−4.04
0.05	−2.89		−3.45		−2.89		−3.45
0.10	−2.58		−3.15		−2.58		−3.15

Notes:

Augmented Dickey–Fuller test including constant as well as constant plus trend; Lag length criteria: automatic selection based on Schwarz info criterion; t-statistics and probability are reported. All variables are expressed in logs except real after-mortgage rate, ATMR and Unemployment;

* and

**indicate significance at 1 and 5% level, respectively; Number of observations is 122

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