1. In Example 8.2 (Real GNP series) apply the stochastic unit root model yt = t yt1 + t with t N(0, 2), and

1. In Example 8.2 (Real GNP series) apply the stochastic unit root model yt = ρt yt−1 + εt with εt ∼ N(0, σ2), and exp(αt ) = ρt . With p = 1 and p = 2 in the AR model for the αt series, assess the probability μα is below 0.