Question: 13.6 The data file vec.dat contains1 00 observationso nZ generateds erieso f data,x and y. The variables uue nonstationary and cointegrated without a constant term.

13.6 The data file vec.dat contains1 00 observationso nZ generateds erieso f data,x and y.

The variables uue nonstationary and cointegrated without a constant term. Save the cointegrating residuals (res) and estimate the VEC model. As a check, the results for the case normalized on y are A), : -0.576(res,-1)

(, (-6.1s8)

fr: o'+so1res1-v)

(4 9A48)

(a) The residuals from the error correction model should not be autocorrelated. Is this the case?

(b) Note that one of the error correction terms is negative and the other is positive.

Explain why this is necessary.

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