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Review Questions: 1. Outline step-by-step the Johansen's methodology for testing for cointegration between a set of variables in the context of a VAR. 2. Suppose you are interested in portfolio allocation across ten of the GSE sectors. Using a step-by-step procedure demonstrate how you would use PCA or factor analysis to allocate the portfolio. 3. Demonstrate how you would use cointegration and error correction modelling techniques to address the following issues in finance: i. Test for weak form efficient market hypothesis ii. Establish the potential benefits of international diversification of investment portfolios iii. The advantages of a multivariate cointegration tests over bivariate cointegration techniques