If investors expect that inflation will run high in the future, they will demand higher interest rates in their bonds investments. Thus, nominal interest rates must react to changes in inflation expectations. To test the relation between bond yields and inflation, download the time series on interest rates for the 10-year Treasury notes and the Consumer Price Index. Find the best linear dynamic model for interest rates changes as a function of CPI changes (inflation) potentially including past information on interest rates and CPI changes. Do you find evidence for our claim?