Question: In testing for cointegration between gfr and pe in Example 18.5, add t 2 to equation (18.32) to obtain the OLS residuals. Include one lag

In testing for cointegration between gfr and pe in Example 18.5, add t 2

to equation (18.32) to obtain the OLS residuals. Include one lag in the augmented DF test. The 5% critical value for the test is 24.15.

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