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Co-integration Suppose that X, and Y, are I(1) series that X-BY, is 1(0) when B 0. a) Show that for any & B, X, - SY, must be 1(1). b) What does this imply about the cointegrating vector and its uniqueness? c) Now there are three (1) series, X, Y. and Ze. Suppose that X-BY, is 1(0), X-yZ, is also I(0), where ß 0 and y # 0. What does this imply for the cointegration between Y, and 2,? Prove your statement.

Co-integration Suppose that X, and Y, are I(1) series that X-BY, is 1(0) when B 0. a) Show that for any & B, X, - SY, must be 1(1). b) What does this imply about the cointegrating vector and its uniqueness? c) Now there are three (1) series, X, Y. and Ze. Suppose that X-BY, is 1(0), X-yZ, is also I(0), where ß 0 and y # 0. What does this imply for the cointegration between Y, and 2,? Prove your statement.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Co-integration Suppose that X, and Y, are I(1) series that X, - BY, is I(0) when B # 0. a) Show that for any 8 B, X - 8Y, must be 1(1). b) What does this imply about the cointegrating vector and its uniqueness? c) Now there are three I(1) series, Xe, Y, and Z,. Suppose that X, - BY, is 1(0), X-yZ, is also I(0), where B 0 and y + 0. What does this imply for the cointegration between Y, and Z,? Prove your statement.
Transcribed Image Text:Co-integration Suppose that X, and Y, are I(1) series that X, - BY, is I(0) when B # 0. a) Show that for any 8 B, X - 8Y, must be 1(1). b) What does this imply about the cointegrating vector and its uniqueness? c) Now there are three I(1) series, Xe, Y, and Z,. Suppose that X, - BY, is 1(0), X-yZ, is also I(0), where B 0 and y + 0. What does this imply for the cointegration between Y, and Z,? Prove your statement.
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