This question is about time series econometrics.

(a)Assuming , randomly generate 500 observations of variables X and Y using the following equations:

X_t = pX_t-1 + e_t

Y_t = pY_t-1 + e_t

Then REPORT the graphs of x and y. Then run the following regression and reports the regression results: Y_t = Alpha + BetaX_t + e_t.

(b) What did you expect about the magnitudes Betaand R-square? How are the estimated values different from your expectations?