Question: 11.11 Use the data from CAY.XLS. (a) Test for unit roots in all the variables in this data set. (b) Test for cointegration in these

11.11 Use the data from CAY.XLS.

(a) Test for unit roots in all the variables in this data set.

(b) Test for cointegration in these variables using the Engle–Granger test from Chapter 10. Does this test yield the same finding as the Johansen test?

(c) In Table 11.5, the Johansen test was done with one lag. Does the finding of the Johansen test differ if you use two lags? Three lags? Four lags?

(d) Discuss the issue of lag length selection in this data set using information criteria.

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