Question: For this question, use the data on regular and organic orange prices in ORANGE.XLS. (a) Starting with pmax = 4, select a lag length for

For this question, use the data on regular and organic orange prices in ORANGE.XLS.

(a) Starting with pmax = 4, select a lag length for the VECM and estimate each equation using OLS.

(b) Using the VECM from part (a), carry out a forecasting exercise. Experiment with various forecast horizons. Does the VAR forecast well?

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