The questions on time series is: H0 and Ha for the given example. make suggestions on the basis of results. Choose the best DF test form. See below for details please:

(a) From time series data for the variable yt , a researcher is trying to find out if the variable is stationary and obtains the following regression results [standard errors in parentheses]: Ay, = 0.625 0,091y,_l + ii, (0.261) (0.037) where air are the estimated regression residuals and A is the first difference operator. The researcher has been given the following critical values against which to compare the results of the% test N10 1) -1- 128 DF no constant DF trend (i) (ii) lb} What should the researcher conclude about the stationarity of the variable y: ? Explain clearly how to construct the test, what are the null and alternative hypotheses, and which critical values should be used. (4 marks) How should the researcher proceed on the basis of the results discussed in (i)? (2 marks) Which of the three forms of the Dickey.r and Fuller test regression would you use to test for a unit root in the following series: (a) log of consumer price index llnCPl); [bl interest rate; (c) inflation rate (AInCPI); (d) the SPSDO returns iAlnSPSOO). (4 marks)