Question: The data file gdp.dat contains quarterly data on the real GDP of Australia (AUS) and real GDP of the United States (USA ) for the

The data file gdp.dat contains quarterly data on the real GDP of Australia (AUS) and real GDP of the United States (USA ) for the sample period 1970:1 to 2000:4.

(a) Are the series stationary or nonstationary?

(b) Test for cointegration allowing for an intercept term. You will find that the intercept is negative. Is this sensible? If not, repeat the test for cointegration excluding the constant term.

(c) Save the cointegrating residuals and estimate the VEC model.

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