Macro-Econometrics Homework Assignment #9 (150 points) This assignment is based on the data in the Excel worksheet H W_Data_Period_9.xlsx, which is found on the course
Macro-Econometrics Homework Assignment #9 (150 points) This assignment is based on the data in the Excel worksheet H W_Data_Period_9.xlsx, which is found on the course website. The data set contains 100 observations for three simulated data series X, Z and Y. These data were generated by the instructor based on a model where all three variables are nonstationary and cointegrated. By construction, the three data series have two common trends and one cointegrating relationship. However, in this exercise, you will pretend that you are uncertain about these proplerties. (b). Conduct an augmented DickeyFuller test (as below) for each variable, using lag lengths p of 0 (no lags) and 4 (four lags). Report your results for the ys in a short table. What do you conclude? :3 Ay, = a0 + yyri + ZiAytf i=1 Now, impose the null 01' a unit root and test for the signicance of the constant. What are your results
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