Question: Suppose Yt Xt ut where Xt Xt1 et with (et ,ut ) I (0). (a) Is Yt I (0) or I (1)?.

Suppose Yt Æ Xt Åut where Xt Æ Xt¡1 Ået with (et ,ut ) » I (0).

(a) Is Yt I (0) or I (1)?.

(b) Find the asymptotic functional distribution of n¡1/2Ybnr c.

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