PS 6 (Not due, for practice) 1. One version of the expectations theory of the term structure of interest rates holds that a long-term rate equals the average of the expected values of short-term interest rates into the future, plus a term premium that is 10). Specifically, let Rkt denote a k-period interest rate, let Rl, denote a one period interest rate, and let e denote an I(0) term premium. Then Rk = R1 + et, where R1, is the forecast made at date t for the value of R1 at date t + i. Suppose that AR14 = 0.5AR1-1 + ut, AR1+ = R17 Rlt-1. Are Rkt and R14 cointegrated? What is the cointegrating coefficient