Table 6.

Stationarity test for house price return series

Series	ADF		KPSS
	Test statistics	P value	Test statistics	P value
CT	−2.42(1)	0.15	0.42(1)	0.07*
WP	−1.73(1)	0.40	0.56(1)	0.03**
OW	−2.25(1)	0.20	0.49(1)	0.04**
ZB	−1.92(1)	0.32	0.60(1)	0.02**
BL	−1.93(1)	0.31	0.58(1)	0.02***
DB	−1.83(1)	0.36	0.56(1)	0.03**
ND	−1.64(1)	0.44	0.75(1)	<0.01***
GS	−1.74(1)	0.39	0.78(1)	<0.01***
OD	−1.58(1)	0.47	0.70(1)	<0.01***
SO	−1.89(1)	0.33	0.58(1)	0.02**
ZO	−1.53(1)	0.49	0.82(1)	0.01***
WG	−2.02(1)	0.28	0.53(1)	0.04**
OZ	−2.12(1)	0.24	0.47(1)	0.05**
ZA	−1.99(1)	0.29	0.52(1)	0.04**

The test regression is estimated separately for each time series with an intercept. Due to the limited sample size, the augmented lag in the ADF procedure is set to one (indicated in the parenthesis). One indicated in parenthesis for the KPSS test is the Newey–West estimator of the bandwidth parameter. The null hypothesis for ADF is that the series contains unit root, while the KPSS null states that the series is stationary. *, ** and *** denote statistical significance at the 10, 5 and 1% respectively.