Suppose P1, is the stock price index for country 1, P2, is the stock price index for country 2 and P3, is the stock price index for country 3. The researcher believes that the stock price indexes are determined as: P1t = P1t-1 + P2t = 0.5P1t-1 +Vt P3t = P1t-1 + Wt where &t, Vt and we are white noise error terms. (i) Does the researcher believe that P1, P2t and P3, are, respectively, I(1) series? Justify your answer. (1 mark) (ii) (iii) t Does the researcher expect that a regression of P3, on a constant and P1, will give spurious results (i.e., that it is a spurious regression)? Justify your answer (1 mark) t Does the researcher expect P2 and P3, to be cointegrated with each other? Justify your answer. (1 mark)