C5 Use INTQRT.RAW for this exercise. (i) In Example 18.7, we estimated an error correction model for the holding yield on six-month T-bills, where one lag of the holding yield on three-month T-bills is the explanatory variable. We assumed that the cointegration parameter was one in the equation hy6t    hy3t1  ut . Now, add the lead change, hy3t , the contemporaneous change, hy3t1, and the lagged change, hy3t2, of hy3t1. That is, estimate the equation hy6t    hy3t1  0hy3t  1hy3t1  1hy3t2  et and report the results in equation form. Test H0:   1 against a two-sided alternative. Assume that the lead and lag are sufficient so that {hy3t1} is strictly exogenous in this equation and do not worry about serial correlation. (ii) To the error correction model in (18.39), add hy3t2 and (hy6t2  hy3t3). Are these terms jointly significant? What do you conclude about the appropriate error correction model?