The data file \(g d p\) contains quarterly data on the real GDP of Australia (AUS) and real GDP of the United States (USA) for the sample period 1970Q1 to 2000Q4.

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.