cointegration

4. Suppose Y = Yt- + 6, and let Zt = 2Y + wt, Xt = Yt + ut, where vt, Wt, e ~ iid N(0,1) and independent of each other. (a) Show that Z, and X, have a unit root. [5 marks] (b) Show that Y, and Z, are cointegrating and that also X, and Z, are cointegrating and show the cointegrating factors [5 marks] (c) What is the Error Correction Model for Y, and Z.? [10 marks]