d. We test " H0 : The 1st Difference of Johnson \& Johnson stock has a unit root." What can you conclude at the 1%,5%, and 10% levels? Null Hypothesis: D_JNJ has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=12) *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(D_JNJ) Method: Least Squares Date: 05/22/22 Time: 12:53 Sample (adjusted): 1985MO4 2022M05 Included observations: 446 after adjustments Unit Roots / Johnson \& Johnson [9 points] a. Briefly define the concept of a Unit Root. b. Suppose we test " H0 : ytt has a unit root." Furthermore, we cannot reject the null hypothesis. What would we do next? c. We test "Ho: Johnson \& Johnson stock has a unit root." What can you conclude at the 1%,5%, and 10% levels? Null Hypothesis: JNJ has a unit root Exogenous: Constant Lag Length: 6 (Automatic - based on SIC, maxlag=12) *Mackinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(JNJ) Method: Least Squares Date: 05/22/22 Time: 12:51 Sample (adjusted): 1985 M09 2022M05 Included observations: 441 after adjustments