Unit root test for stationarity at levels
| Variable | Levels | |||||
|---|---|---|---|---|---|---|
| Augmented Dickey–Fuller test | Phillips–Perron test | |||||
| Intercept | Trend and intercept | None | Intercept | Trend and intercept | None | |
| HPI | –1.673751 | –2.305142 | –0.268037 | –1.275769 | –1.712557 | 0.122452 |
| LOGGDP | –4.574718*** | –4.694863*** | –0.109497 | –4.745462*** | –4.876664*** | –0.106338 |
| ITF | –1.000000 | –1.993940 | 0.000000 | –1.000000 | –2.026102 | 0.000000 |
| LOGCPI | –5.632881*** | –2.777684 | 1.689341 | –7.764103*** | –2.657212 | 4.712376 |
| LOGEXCH | –3.240371** | –4.460348*** | –0.604007 | –2.121041 | –2.806941 | –0.672606 |
| LOGHML | –1.582806 | –2.149918 | 1.661918 | –0.946978 | –1.457627 | 2.235514 |
| LOGM3 | –3.220032** | –3.982510** | –0.880859 | –2.782790* | –3.339640** | –0.921269 |
| Variable | Levels | |||||
|---|---|---|---|---|---|---|
| Augmented Dickey–Fuller test | Phillips–Perron test | |||||
| Intercept | Trend and intercept | None | Intercept | Trend and intercept | None | |
| HPI | –1.673751 | –2.305142 | –0.268037 | –1.275769 | –1.712557 | 0.122452 |
| LOGGDP | –4.574718 | –4.694863 | –0.109497 | –4.745462 | –4.876664 | –0.106338 |
| ITF | –1.000000 | –1.993940 | 0.000000 | –1.000000 | –2.026102 | 0.000000 |
| LOGCPI | –5.632881 | –2.777684 | 1.689341 | –7.764103 | –2.657212 | 4.712376 |
| LOGEXCH | –3.240371 | –4.460348 | –0.604007 | –2.121041 | –2.806941 | –0.672606 |
| LOGHML | –1.582806 | –2.149918 | 1.661918 | –0.946978 | –1.457627 | 2.235514 |
| LOGM3 | –3.220032 | –3.982510 | –0.880859 | –2.782790 | –3.339640 | –0.921269 |
Notes: The table reports the unit root tests using the augmented Dickey–Fuller test (ADF) and the Phillips–Perron (PP) test at levels. House price index (HPI), gross domestic product index (LOGGDP), interest rates (IR), inflation targeting framework (ITF), consumer price index (LOGCPI), exchange rate (LOGEXCH), housing mortgage loans (LOGHML) and money supply (M3) were tested at intercept, trend and intercept and none using automatic selection based on the SIC for ADF and Bartlett Kernel for the PP. The results show the test statistic and its level of significance: *** (0.01 level of significance), ** (0.05 level of significance) and *(0.1 level of significance)
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