Answered: Co-integration Suppose that X, and Y,… | bartleby

Algebra & Trigonometry with Analytic Geometry

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter10: Sequences, Series, And Probability

Section: Chapter Questions

Problem 49RE

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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.

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