(4 marks) Consider the following time series model for {yt }-1: yt = 00 + 01(p - 1)t + pyt-1 + Et, where & is i.i.d with mean zero and variance of, t = 1, ...,T, and yo = 0. How can we test whether p = 1? Clearly specify the null and alternative hypothesis, the test statistic, and the rejection rule