16.6 A regression of Yt onto current, past, and future values of Xt yields Yt = 2.0...

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16.6 A regression of Yt onto current, past, and future values of Xt yields Yt = 2.0 + 1.5Xt + 1 + 0.9Xt - 0.3Xt - 1 + ut.

a. Rearrange the regression so that it has the form shown in Equation

(16.25). What are the values of u,

d- 1, d0, and d1?

b. i. Suppose that Xt is I(0) and ut is I(0). Are Y and X cointegrated?

ii. Suppose that Xt is I(1) and Yt is I(1). Are Y and X cointegrated?

iii. Suppose that Xt is I(1) and ut is I(0). Are Y and X cointegrated?

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Introduction To Econometrics

ISBN: 9781292071367

3rd Global Edition

Authors: James Stock, Mark Watson

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Question Posted: Oct 26, 2024 02:00 AM

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16.6 A regression of Yt onto current, past, and future values of Xt yields Yt = 2.0 + 1.5Xt + 1 + 0.9Xt - 0.3Xt - 1 + ut. a. Rearrange the regression so that it has the form shown in Equation...
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16.6 A regression of Yt onto current, past, and future values of Xt yields Yt = 2.0...

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Introduction To Econometrics

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